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Modelling the bivariate dependence structure of exchange rates before and after the introduction of the euro: a semi‐parametric approach

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  • Gianna Boero
  • Param Silvapulle
  • Ainura Tursunalieva

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Suggested Citation

  • Gianna Boero & Param Silvapulle & Ainura Tursunalieva, 2011. "Modelling the bivariate dependence structure of exchange rates before and after the introduction of the euro: a semi‐parametric approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 16(4), pages 357-374, October.
  • Handle: RePEc:wly:ijfiec:v:16:y:2011:i:4:p:357-374
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    Cited by:

    1. Dimitriou, Dimitrios & Kenourgios, Dimitris, 2013. "Financial crises and dynamic linkages among international currencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 319-332.
    2. Azam, Kazim, 2014. "Dependence Analysis between Foreign Exchange Rates: A Semi-Parametric Copula Approach," Economic Research Papers 270231, University of Warwick - Department of Economics.
    3. repec:eee:ecmode:v:67:y:2017:i:c:p:203-214 is not listed on IDEAS
    4. Tamakoshi, Go & Hamori, Shigeyuki, 2014. "Co-movements among major European exchange rates: A multivariate time-varying asymmetric approach," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 105-113.
    5. Silvo Dajcman, 2013. "Dependence between Croatian and European stock markets – A copula GARCH approach," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics, vol. 31(2), pages 209-232.
    6. Antonakakis, Nikolaos, 2012. "Exchange return co-movements and volatility spillovers before and after the introduction of euro," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1091-1109.
    7. Ozer-Imer, Itir & Ozkan, Ibrahim, 2014. "An empirical analysis of currency volatilities during the recent global financial crisis," Economic Modelling, Elsevier, vol. 43(C), pages 394-406.
    8. Azam, Kazim, 2014. "Dependence Analysis between Foreign Exchange Rates: A Semi-Parametric Copula Approach," The Warwick Economics Research Paper Series (TWERPS) 1052, University of Warwick, Department of Economics.
    9. repec:spr:jqecon:v:16:y:2018:i:2:d:10.1007_s40953-017-0088-1 is not listed on IDEAS

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