Factor Copula Models and Their Application in Studying the Dependence of the Exchange Rate Returns
Hanyue Zhang, Feng Jiao
Abstract
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Hanyue Zhang, Feng Jiao
Abstract
Open-access reader
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.
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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