Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index
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- Christoph Schleicher & Matthew Hurd & Mark Salmon, 2005. "Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index," Computing in Economics and Finance 2005 215, Society for Computational Economics.
- Matthew Hurd & Mark Salmon & Christoph Schleicher, 2007. "Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index," Bank of England working papers 334, Bank of England.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Fabrizio Durante & Erich Klement & Carlo Sempi & Manuel Úbeda-Flores, 2010. "Measures of non-exchangeability for bivariate random vectors," Statistical Papers, Springer, vol. 51(3), pages 687-699, September.
- Mendoza-Velázquez, Alfonso & Galvanovskis, Evalds, 2009. "Introducing the GED-Copula with an application to Financial Contagion in Latin America," MPRA Paper 46669, University Library of Munich, Germany, revised 01 Feb 2010.
- Zhichao Zhang & Li Ding & Fan Zhang & Zhuang Zhang, 2015. "Optimal Currency Composition for China's Foreign Reserves: A Copula Approach," The World Economy, Wiley Blackwell, vol. 38(12), pages 1947-1965, December.
- repec:eee:phsmap:v:486:y:2017:i:c:p:595-609 is not listed on IDEAS
- Alvise De Col & Alessandro Gnoatto & Martino Grasselli, 2012. "Smiles all around: FX joint calibration in a multi-Heston model," Papers 1201.1782, arXiv.org, revised Jun 2013.
- Tavin, Bertrand, 2015. "Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 158-178.
- Mendoza, Alfonso. & Galvanovskis, Evalds., 2014. "La cópula GED bivariada. Una aplicación en entornos de crisis," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(323), pages .721-746, julio-sep.
- Mark Salmon & Christoph Schleicher, 2006. "Pricing Multivariate Currency Options with Copulas," Working Papers wpn06-10, Warwick Business School, Finance Group.
- De Col, Alvise & Gnoatto, Alessandro & Grasselli, Martino, 2013. "Smiles all around: FX joint calibration in a multi-Heston model," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3799-3818.
- Alessandro Gnoatto & Martino Grasselli, 2013. "An analytic multi-currency model with stochastic volatility and stochastic interest rates," Papers 1302.7246, arXiv.org, revised Mar 2013.
More about this item
Keywordscopulae; exchange rates; option implied pdfs; triangular arbitrage;
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-08-13 (All new papers)
- NEP-FIN-2005-08-13 (Finance)
- NEP-FMK-2005-08-13 (Financial Markets)
- NEP-IFN-2005-08-13 (International Finance)
- NEP-MON-2005-08-13 (Monetary Economics)
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