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Keywords: Dependence structure
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Journal Articles
Dependence structure of the US dollar index and crude oil prices: a regime-switching copula approach
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Journal:
Journal of Financial Economic Policy
Journal of Financial Economic Policy (2026) 18 (3): 457–479.
Published: 18 September 2025
... indicate that the Gaussian copula model with regime switching is more effective in fitting the experimental data. The results of the model fitting revealed two distinct dependency structures: one exhibited a positive correlation, and the other demonstrated a negative correlation. This finding contrasts...
