Gold prices and exchange rates : a time-varying copula analysis
Year of publication: |
2014
|
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Authors: | Yang, Lu ; Hamori, Shigeyuki |
Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 24.2014, 1/3, p. 41-50
|
Subject: | dynamic conditional dependence | dynamic conditional correlation | time-varying copula function | gold price | exchange rate | Wechselkurs | Exchange rate | Multivariate Verteilung | Multivariate distribution | Gold | Korrelation | Correlation | ARCH-Modell | ARCH model | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis |
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