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Modeling exchange rate dependence dynamics at different time horizons.
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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
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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)).
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