Modeling Currency Exchange Data with Asymmetric Copula Functions
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Tarih
2022
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Springer Science and Business Media Deutschland GmbH
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
In the fields of economics and finance, there are data sets with dependent structures that can be modeled symmetrically or asymmetrically. Analyzing the asymmetrically dependent data with a symmetric model can result in inaccurate financial decisions. Besides, the effect of any event such as the financial crisis on international financial returns can be captured more accurately with asymmetric models. Recent studies have revealed that asymmetric dependent structures can be observed in exchange rates. While dependency structures for a financial data set can be modeled with copula functions efficiently, asymmetric dependencies can be modeled with directional copula functions. In the literature, there are some asymmetric copula models constructed in different ways to model directional dependence. The aim of this study is to model asymmetric exchange rate data with directional dependency measures. For this reason, the dependence among the four currencies traded in US Dollars is investigated using Khoudraji type copula functions. Additionally, the proportions of the total variability between foreign exchange returns are examined in detail. © 2022, The Author(s), under exclusive license to Springer Nature Switzerland AG.
Açıklama
Anahtar Kelimeler
Asymmetric copula; Currency exchange rate; Directional dependence; Khoudraji copula
Kaynak
Contributions to Economics
WoS Q Değeri
Scopus Q Değeri
Q4
