MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE
作者： Andrew J. Patton
DOI: 10.1111/J.1468-2354.2006.00387.X
关键词: Econometrics 、 Macroeconomics 、 Asymmetry 、 Vine copula 、 Conditional dependence 、 Economics 、 Liberian dollar 、 Tail dependence 、 Copula theory 、 Multivariate copula 、 Exchange rate
摘要: We test for asymmetry in a model of the dependence between Deutsche mark and yen, sense that different degree correlation is exhibited during joint appreciations against U.S. dollar versus depreciations. consider an extension theory copulas to allow conditioning variables, employ it construct flexible models conditional structure these exchange rates. find evidence mark‐dollar yen‐dollar rates are more correlated when they depreciating than appreciating.
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