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Exchange Rates

C/E/672. Copula dependence measures: can they identify the dependence structure of exchange rates

WORDS:
5550
DATE:
2011
PRICE:
59.99 GBP

This paper aims to test copula relations as a method of helping the volatility of exchange rates. The objectives are to analyze the theories of Copulas and identify the links to existing academic thought to financial relationship dependence and the extension to exchange rate dependence, to examine the application of Copula Construction theorems to understanding volatility of exchange rates, and to test the validity of using Copula Construction theorems to exchange rate dependence. The review of literature discusses topics like the copula theory and exchange rate volatility. The literature aims to assess whether it can be seen as dependence of randomness. The positive approach is taken with this study, and focuses on two models of copula. The paper then concludes with recommendations.

 

KEYWORDS: Copula, exchange rates, exchange rate dependence, Copula Construction theorems!,

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