Modelling the bivariate dependence structure of exchange rates before and after the introduction of the euro: a semi-parametric approach
- 10 November 2010
- journal article
- research article
- Published by Wiley in International Journal of Finance & Economics
- Vol. 16 (4), 357-374
- https://doi.org/10.1002/ijfe.434
Abstract
No abstract availableKeywords
This publication has 24 references indexed in Scilit:
- Testing for structural changes in exchange rates’ dependence beyond linear correlationThe European Journal of Finance, 2009
- Exchange Rates Dependence: What Drives It?SSRN Electronic Journal, 2009
- Copula Methods in FinancePublished by Wiley ,2004
- Detecting Dependence With Kendall PlotsThe American Statistician, 2003
- Dependence structures for multivariate high-frequency data in financeQuantitative Finance, 2003
- International Asset Allocation With Regime ShiftsThe Review of Financial Studies, 2002
- Asymmetric correlations of equity portfoliosJournal of Financial Economics, 2002
- Graphical Assessment of DependenceThe American Statistician, 2001
- Chi-plots for assessing dependenceBiometrika, 1985
- A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidenceBiometrika, 1978