Dependence modelling of Malaysian Ringgit (MYR) and Thai Baht (THB): the Markov switching model with dynamic copula approach (DCA) and bivariate extreme value approach
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Keywords
Markov switching model; dynamic copula; exchange rate; Thailand; Malaysia; bivariate extreme value; dependence modelling; Malaysian ringgit; Thai baht; foreign currencies; currency trading; US dollar; co-movement; currency appreciation; currency depreciation.;All these keywords.
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