This paper develops a dependence-switching copula model to examine dependence and tail dependence for four different market statuses, namely, rising-stocks/appreciating-currency, falling-stocks/depreciating-currency, rising-stocks/depreciating-currency, and falling-stocks/appreciating-currency....

This paper investigates the dependence structure between the equity market and the foreign exchange market by using copulas. In particular, several copulas with different dependence structure are compared and used to directly model the underlying dependence structure. We find that there exists...

This paper studies conditional correlated jump dynamics in foreign exchange returns using a new bivariate jump model with autoregressive jump intensities. Using daily data of German Mark against British Pound and Japanese Yen against the U.S. dollar, we find currency return correlations are...