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What is Asymmetric Dependence in Exchange Rates about?

This document presents research analyzing asymmetric dependence in exchange rates using copula models. The researcher uses a portfolio of four currencies from Central and Eastern Europe to investigate assumptions of asymmetric dependence and compute risk measures. Exchange rate data is filtered using an ARMA GJR model to account for stylized facts. Marginal distributions are fitted with a semi-parametric CDF using a Gaussian kernel and Generalized Pareto Distribution for tails. Copula models are estimated t

Author

Miruna Zaim

Language

EN