He, Yijin; Hamori, Shigeyuki - In: Journal of risk and financial management : JRFM 12 (2019) 2/99, pp. 1-25
We studied the dependence structure between West Texas Intermediate (WTI) oil prices and the exchange rates of BRICS1 … dependence, and we captured the dynamic dependence using the Generalized Autoregressive Score with the Student's t copula. We … found that negative dependence and significant tail dependence exist in all pairs considered. The Russian Ruble (RUB …