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Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index (Revised)

Schleicher, Christoph; Salmon, Mark; Hurd, Matthew - Financial Econometrics Research Centre, Warwick … - 2005

Persistent link: https://www.econbiz.de/10004981135

Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index

Hurd, Matthew; Salmon, Mark H.; Schleicher, Christoph - 2005

Persistent link: https://www.econbiz.de/10002979536

Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index

Hurd, Matthew (contributor); Salmon, Mark H. (contributor); … - 2007

"We model the joint risk-neutral distribution of the euro-sterling and the dollar-sterling exchange rates using option-implied marginal distributions that are connected via a copula function that satisfies the triangular no-arbitrage condition. We then derive a univariate distribution for a...

Persistent link: https://www.econbiz.de/10003595871

On Uncertainty, Market Timing and the Predictability of Tick by Tick Exchange Rates

Salmon, Mark; Kozhan, Roman - Financial Econometrics Research Centre, Warwick … - 2008

Persistent link: https://www.econbiz.de/10004981029

An Elementary Account of Amari's Expected Geometry

Salmon, Mark; Marriott, Paul; Critchley, Frank - Financial Econometrics Research Centre, Warwick … - 1999

Persistent link: https://www.econbiz.de/10004981037

A New Measure of Herding and Empirical Evidence

Salmon, Mark; Hwang, Soosung - Financial Econometrics Research Centre, Warwick … - 2001

Persistent link: https://www.econbiz.de/10004981049

Uncertainty Aversion in a Heterogeneous AgentModel of Foreign Exchange Rate Formation

Salmon, Mark; Kozhan, Roman - Financial Econometrics Research Centre, Warwick … - 2008

Persistent link: https://www.econbiz.de/10004981059

Performance Measurement with Loss Aversion

Hwang, Soosung; Gemmill, Gordon; Salmon, Mark - Financial Econometrics Research Centre, Warwick … - 2005

Persistent link: https://www.econbiz.de/10004981079

From Market Micro-structure to Macro Fundamentals: is there Predictability in the Dollar-Deutsche Mark Exchange Rate?

Salmon, Mark; Hillman, Robert - Financial Econometrics Research Centre, Warwick … - 1999

Persistent link: https://www.econbiz.de/10004981083

Performance Measurement with Loss Aversion

Salmon, Mark; Hwang, Soosung; Gemmill, Gordon - Financial Econometrics Research Centre, Warwick … - 2005

Persistent link: https://www.econbiz.de/10004981091