The asymmetry in carry trade and the U.S. dollar
博士 === 元智大學 === 管理學院博士班 === 106 === We employed copula-based GJR-GARCH models to investigate the dependence structure between the carry trade and the U.S. dollar returns. The marginal is modeled by the GJR-GARCH process, and dynamic copulas (Gaussian, Student-t, and skewed-t) are adopted to capture...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/f8jfp7 |