Dependence structure between the equity market and the foreign exchange market–A copula approach

This paper investigates the dependence structure between the equity market and the foreign exchange market by using copulas. In particular, several copulas with different dependence structure are compared and used to directly model the underlying dependence structure. We find that there exists signi...

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Bibliographic details
Volume: 29
Main Author: Ning, Cathy
Format: Journal Article
Language: English
Place of publication: OXFORD Elsevier Ltd 2010
ELSEVIER SCI LTD
Elsevier
published in: Journal of international money and finance Vol. 29; no. 5; pp. 743 - 759
Data of publication: 2010
ISSN: 0261-5606
1873-0639
EISSN: 1873-0639
Discipline: Business
Series: Journal of International Money and Finance
Subjects:
C52
F30
C32
G15
C51
Online Access: available in Bonn?
Database: Social Sciences Citation Index
Web of Knowledge
Web of Science - Social Sciences Citation Index - 2010
Web of Science
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