1. Foreign Exchange Dependence through Different Copula Models.
- Author
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Fernández, M., García, Jesús E., González-López, V. A., Romano, N., and Tessler, J. F.
- Subjects
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FOREIGN exchange , *COPULA functions , *DEPENDENCE (Statistics) , *PARAMETER estimation , *MATHEMATICAL functions - Abstract
In this paper we postulate different scenarios based on two copula models under the format C(u, v)= uv + f (u)g(v) for suitable functions f and g, see Rodríguez-Lallena & Úbeda Flores (2004) [4] and Nelsen et al. (1997) [3]. We used these copulas to model the dependence between two currencies quoted relative to the U.S. Dollar, the Canadian Dollar and the South Korean Won. We assume a Bayesian approach to estimate the copulas parameters, then we estimate the impact of losses on the South Korean Won on the Canadian Dollar. [ABSTRACT FROM AUTHOR]
- Published
- 2018
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