This paper develops a dependence-switching copula model to examine dependence and tail dependence for four different market statuses, namely, rising-stocks/appreciating-currency, falling-stocks/depreciating-currency, rising-stocks/depreciating-currency, and falling-stocks/appreciating-currency....

This paper constructs factor-based fundamental exchange rates with independent component factors and then re-examines the superiority of factor models in out-predicting nominal exchange rates. By applying the panel data of 17 OECD countries over the period 1973-2011, this article finds that both...

This paper develops a dependence-switching copula model to examine dependence and tail dependence for four different market statuses, namely, rising-stocks/appreciating-currency, falling-stocks/depreciating-currency, rising-stocks/depreciating-currency, and falling-stocks/appreciating-currency....

We apply a dependence-switching copula model to study major industrial countries' asymmetric risk spillovers between stock and currency markets. We construct conditional value-at-risk under different market statuses and build upside and downside expected conditional value-at-risk for the stock...