Measuring dynamic dependency using time-varying copulas with extended parameters: Evidence from exchange rates data
This study proposes a novel approach that investigates the dynamic dependency among exchange rates by extending time-varying copulas' parameters following an autoregressive moving average (ARMA) process. The process consists of an autoregressive part that explains the effect of the previous par...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2021-01-01
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| Series: | MethodsX |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2215016121001151 |