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Keywords: Currency exchange rate
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Journal Articles
The dependence structure and portfolio risk of Malaysia's foreign exchange rates: the Bayesian GARCH–EVT–copula model
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International Journal of Emerging Markets (2021) 16 (5): 952–974.
Published: 02 October 2020
...Xiu Wei Yeap; Hooi Hooi Lean; Marius Galabe Sampid; Haslifah Mohamad Hasim Purpose This paper investigates the dependence structure and market risk of the currency exchange rate portfolio from the Malaysian ringgit perspective. Design/methodology/approach The marginal return of the five major...
