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:	Copulas Stock return Foreign exchange rate return GARCH Tail dependence Dependence structure Business & Economics Business, Finance Social Sciences Copulas Tail dependence Dependence structure GARCH Stock return Foreign exchange rate return C52 Copulas Stock return Foreign exchange rate return F30 C32 G15 GARCH Tail dependence C51 Dependence structure RETURN RATES DIVERSIFICATION PRICES MODELS TIME-SERIES
Online Access:	available in Bonn?
Database:	Social Sciences Citation Index Web of Knowledge Web of Science - Social Sciences Citation Index - 2010 Web of Science RePEc RePEc IDEAS CrossRef Database information Databases - DBIS