Modeling foreign exchange rates using copula-based autoregressive conditional duration models

MaRDI QIDQ2888199zbMATH OpenFDO

Authors Fentaw Abegaz, U. V. Naik-Nimbalkar

Publication date 30 May 2012

Published in Journal of Applied Statistical Science (Search for Journal in Brave)

zbMATH Keywords

copulaexchange ratessurvival modelsfinancial applicationsautoregressive conditional duration models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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(6)

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• Modeling currency exchange data with asymmetric copula functions
• scientific article; zbMATH DE number 6781436 (Why is no real title available?)
• Risk estimation in exchange rate markets based on stochastic copula approach
• Time evolutions of copulas and foreign exchange markets

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