2012International Business ResearchOpen access

Factor Copula Models and Their Application in Studying the Dependence of the Exchange Rate Returns

Hanyue Zhang, Feng Jiao

Open full text 6 citations

Abstract

This paper applies multivariate factor copula modeling methods to study the dependence relationships of exchange rates. We found that conditional on the common factors, the dependence among the chosen currencies is weakly asymmetric, and the two-factor Gaussian copula modeling hypothesis is more appropriate.

Open-access reader

About this research paper

What this paper is about

This paper applies multivariate factor copula modeling methods to study the dependence relationships of exchange rates. We found that conditional on the common factors, the dependence among the chosen currencies is weakly asymmetric, and the two-factor Gaussian copula modeling hypothesis is more appropriate.

Why it matters

OpenAlex reports 6 citations for this work. Citation counts describe recorded attention and do not establish research quality.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

This paper applies multivariate factor copula modeling methods to study the dependence relationships of exchange rates. We found that conditional on the common factors, the dependence among the chosen currencies is weakly asymmetric, and the two-factor Gaussian copula modeling hypothesis is more appropriate.

Key concepts: Copula (linguistics), Econometrics, Multivariate statistics, Conditional dependence, Exchange rate, Economics, Gaussian, Factor analysis

Related papers

Back to paper searchBrowse research topicsOriginal source
Factor Copula Models and Their Application in Studying the Dependence of the Exchange Rate Returns — Research Paper | ScholarLens