COPULA MODELS OF THE JOINT DISTRIBUTION OF EXCHANGE RATES

COPULA MODELS OF THE JOINT DISTRIBUTION OF EXCHANGE RATES

The paper aims at investigating the joint distribution of currency rates using HAC, HKC and Vine copulas in several time periods. Models were constructed using Archimedean copulas including Gumbel-Hougaard, Joe BB1 and Frank copulas, and their parameters were estimated by maximum likelihood. The bes...

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Bibliographic Details
Main Authors: Antonov I. N., Knyazev A. G., Lepekhin O. A.
Format: Article
Language:Russian
Published: Novosibirsk State University Press 2016-12-01
Series:Mir Èkonomiki i Upravleniâ
Subjects:
архимедовы копулы
валюты
копула Гамбела - Хаугарда
копула Joe BB1
копула Франка
метод Кендалла
метод Маршалла - Олкина
прогноз
HAC
HKC
Vine
Archimedean copulas
currency
forecast
Frank copula
Gumbel-Hougaard copula
Joe BB1 copula
Marshall-Olkin’s algorithm
sampling via Kendall’s Distribution
Online Access:https://nsu.ru/ef/vestnik_ngu_ef/2016_4_2

Internet

https://nsu.ru/ef/vestnik_ngu_ef/2016_4_2

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