Testing for structural changes in exchange rates' dependence beyond linear correlation
Year of publication: |
2009
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Authors: | Dias, Alexandra ; Embrechts, Paul |
Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 15.2009, 7/8, p. 619-637
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Subject: | Multivariate Verteilung | Multivariate distribution | ARCH-Modell | ARCH model | Risikomanagement | Risk management | Volatilität | Volatility | Währungsrisiko | Exchange rate risk | Theorie | Theory |
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