Dias, Alexandra and Embrechts, Paul.
Modeling exchange rate dependence dynamics at different time horizons.
Journal of International Money and Finance, Vol.29
Dias, Alexandra and Embrechts, Paul
Testing for structural changes in exchange rates' dependence beyond linear correlation.
In: Conference on Copulae and Multivariate Probability Distributions in Finance, Warwick Business Sch, Coventry, England, September 14-15, 2007. Published in: European Journal of Finance, Vol.15
(No.7-8). pp. 619-637.
Semi-parametric estimation of joint large movements of risky assets.
Coventry: Warwick Business School, Financial Econometrics Research Centre. (Working papers (Warwick Business School. Financial Econometrics Research Centre).
Email us: firstname.lastname@example.org