Comovement between Foreign Exchange Rate Markets during the Financial Turmoil-a Dynamic Copula Approach
碩士 === 國立高雄第一科技大學 === 風險管理與保險研究所 === 100 === Using dynamic copula approach, this paper investigates co-movement among foreign exchange rates during 2008 financial turmoil. Using the ARMA-GARCH model with non-Gaussian distributions for FX data and examining copula models with unconditional and condit...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/82373498059223015112 |