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Keywords: Copula functions
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Journal Articles
Time-varying dependence and currency tail risk during the Covid-19 pandemic
Available to Purchase
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2023) 40 (5): 839–858.
Published: 18 July 2023
... structure will be modelled by a copula function or more precisely by a conditional copula in the spirit of Patton (2006a , 2006b). The models used for the marginal distributions are presented below. We will denote the log returns of two-time series of prices as the variables X1...
