This study employs Patton's (2006) conditional copula framework to model dynamic conditional joint distribution with currency data for Taiwan and its trading counterparties. Empirical findings suggest that the exchange rate of Taiwan tends to display high tail dependence with those of Asian...

This study proposes a wavelet-based multi-resolution BEKK-GARCH model to investigate spillover effects across financial markets. Compared with traditional multivariate GARCH analysis, the proposed model can identify or decompose cross-market spillovers on multiple resolutions. Taking two highly...