- Tytuł:
- Dynamic Linkages in the Pairs (GBP/EUR, USD/EUR) and (GBP/USD, EUR/USD): How Do They Change During a Day?
- Autorzy:
-
Doman, Małgorzata
Doman, Ryszard - Powiązania:
- https://bibliotekanauki.pl/articles/483281.pdf
- Data publikacji:
- 2014
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
exchange rates
FOREX
linkages
copula
Markov regime switching
Spearman’s rho
volatility
tail dependence
crisis - Opis:
- In the paper, we document how conditional dependencies observed in the FOREX market change during a trading day. The analysis is performed for the pairs (GBP/EUR, USD/EUR) and (GBP/USD, EUR/USD) of exchange rates. We consider daily returns calculated using the exchange rates quoted at different hours of a day. The dynamics of the dependencies is modeled by means of 3-regime Markov regime switching copula models, and the strength of the linkages is described using dynamic Spearman’s rho and the dynamic coefficients of tail dependence. The established approach allows us to monitor the changes in the dependence structure.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2014, 1; 33-56
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł