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

Hanyue Zhang, Feng Jiao

Abstract


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.


Full Text: PDF DOI: 10.5539/ibr.v5n2p3

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This work is licensed under a Creative Commons Attribution 3.0 License.

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

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