Analysis of dependence structure between the Rand/U.S Dollar exchange rate and the gold/platinum prices

Analysis of dependence structure between the Rand/U.S Dollar exchange rate and the gold/platinum prices

Copulas functions are a flexible tool for modelling the dependence structure between variables. The joint and marginal distributions of Copulas are not constrained by the assumptions of normality. This study examines the dependence structure between the gold, platinum prices and the ZAR/U.S.D exchan...

Full description

Bibliographic Details
Main Author: Malandala, Kajingulu
Other Authors: Olaomi, J. O.
Format: Others
Language:en
Published: 2019
Subjects:
Copulas
ARMA
EGARCH
APARCH
Dependence structure
Exchange rate
Commodity prices
519.5
Finance > Mathematical models
Foreign exchange rates > Mathematical models
Copulas (Mathematical statistics)
Online Access:Malandala, Kajingulu (2018) Analysis of dependence structure between the Rand/U.S Dollar exchange rate and the gold/platinum prices, University of South Africa, Pretoria, <http://hdl.handle.net/10500/25239>
http://hdl.handle.net/10500/25239

Internet

Malandala, Kajingulu (2018) Analysis of dependence structure between the Rand/U.S Dollar exchange rate and the gold/platinum prices, University of South Africa, Pretoria, <http://hdl.handle.net/10500/25239>
http://hdl.handle.net/10500/25239

Similar Items