Dias_PE_testing_x_rates.pdf (216.29 kB)
Download file

Testing for structural changes in exchange rates' dependence beyond linear correlation

Download (216.29 kB)
journal contribution
posted on 24.10.2012, 08:54 by Alexandra Dias, P. Embrechts
In this paper, we test for structural changes in the conditional dependence of two-dimensional foreign exchange data. We show that by modeling the conditional dependence structure using copulae, we can detect changes in the dependence beyond linear correlation, such as changes in the tail of the joint distribution. This methodology is relevant for estimating risk-management measures, such as portfolio value-at-risk, pricing multi-name financial instruments, and portfolio asset allocation. Our results include evidence of the existence of changes in the correlation as well as in the fatness of the tail of the dependence between Deutsche mark and Japanese yen.

History

Citation

European Journal Of Finance, 2009, 15 (7-8), pp. 619-637

Version

AM (Accepted Manuscript)

Published in

European Journal Of Finance

Publisher

Routledge Journals, Taylor & Francis Ltd

issn

1351-847X

eissn

1466-4364

Copyright date

2007

Available date

24/10/2012

Publisher version

http://www.tandfonline.com/doi/abs/10.1080/13518470701705579

Language

en

Usage metrics

Categories

Keywords

Exports