Michelis, Leo; Ning, Cathy - In: Canadian Journal of Economics 43 (2010) 3, pp. 1016-1039
This paper investigates the dependence structure between the real Canadian stock returns and the real USD/CAD exchange rate returns, using the Symmetrized Joe-Clayton (SJC) copula function. We estimate the SJC copula with monthly data over the period 1995:1 to 2006:12. Our results show...
