University/Organization
Mathematics Department
Western Kentucky University
Bowling Green, Kentucky¹
Mathematics Department
Western Kentucky University
Bowling Green, Kentucky¹
Department of Economics
University of Colorado at Denver
Denver, Colorado²
Title
Interdependence of Foreign Exchange Rate Markets – A Mixed Copula Approach
Synopsis
In this paper, we study the modelling and estimation of dependence structure among foreign exchange rate markets using the returns of monthly U.S. dollar-based exchange rates (Australian dollar (AUD), Canadian Dollar (CAD), Swiss franc (CHF), Euro (EUR), Japanese yen (JPY), and U.K. pound (GBP) against US dollars. A new approach is proposed based on mixed copula models, which can capture various interdependence patterns among exchange rates.