Lien, Donald; Yang, Li; Zhou, Chunyang; Lee, Geul - In: The North American Journal of Economics and Finance 28 (2014) C, pp. 265-272
This paper investigates the comovement and tail dependence between Chinese Yuan and New Taiwan Dollar non-delivery forward (NDF) rates against the U.S. dollar. We adopt the copula modeling approach to capture dynamics of correlation and tail dependence between two NDF rates. It is shown that the...