Factor Copula Models and Their Application in Studying the Dependence of the Exchange Rate Returns

Hanyue Zhang, Feng Jiao


This paper applies multivariate factor copula modeling methods to study the dependence relationships of exchange rates. We found that conditional on the common factors, the dependence among the chosen currencies is weakly asymmetric, and the two-factor Gaussian copula modeling hypothesis is more appropriate.

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DOI: http://dx.doi.org/10.5539/ibr.v5n2p3

International Business Research  ISSN 1913-9004 (Print), ISSN 1913-9012 (Online)

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