Extreme co-movements and dependencies among major international exchange rates : a copula approach
Claudiu Tiberiu Albulescu, Christian Aubin, Daniel Goyeau, Aviral Kumar Tiwari
| Year of publication: |
2018
|
|---|---|
| Authors: | Albulescu, Claudiu Tiberiu ; Aubin, Christian ; Goyeau, Daniel ; Tiwari, Aviral Kumar |
| Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 69.2018, p. 56-69
|
| Subject: | Copulas | Dependence structure | Exchange rates | Portfolio optimization | Tail dependence | Wechselkurs | Exchange rate | Multivariate Verteilung | Multivariate distribution | Portfolio-Management | Portfolio selection | Zeitreihenanalyse | Time series analysis | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.qref.2018.03.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012034997