Copula-Based Assessment of Co-Movement and Tail Dependence Structure Among Major Trading Foreign Currencies in Ghana

Copula-Based Assessment of Co-Movement and Tail Dependence Structure Among Major Trading Foreign Currencies in Ghana

This paper examines the joint movement and tail dependence structure between the pair of foreign exchange rates (EUR, USD and GBP) against the GHS, using daily exchange rates data expressed in GHS per unit of foreign currencies (EUR, USD and GBP) between the time range of 24 February 2009 and 19 Dec...

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Bibliographic Details
Main Authors: Prince Osei Mensah, Anokye M. Adam
Format: Article
Language:English
Published: MDPI AG 2020-06-01
Series:Risks
Subjects:
exchange rates
depreciation
appreciation
copula
tail dependence structure
Online Access:https://www.mdpi.com/2227-9091/8/2/55

Internet

https://www.mdpi.com/2227-9091/8/2/55

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