Dynamic Linkages in the Pairs (GBP/EUR, USD/EUR) and (GBP/USD, EUR/USD): How Do They Change During a Day?

• Autorzy: Małgorzata Doman , Ryszard Doman
• Języki publikacji: EN

Abstrakty

EN

In the paper, we document how conditional dependencies observed in the FOREX market change during a trading day. The analysis is performed for the pairs (GBP/EUR, USD/EUR) and (GBP/USD, EUR/USD) of exchange rates. We consider daily returns calculated using the exchange rates quoted at different hours of a day. The dynamics of the dependencies is modeled by means of 3-regime Markov regime switching copula models, and the strength of the linkages is described using dynamic Spearman's rho and the dynamic coefficients of tail dependence. The established approach allows us to monitor the changes in the dependence structure. (original abstract)

Słowa kluczowe

EN

Exchange rates; Stochastic Volatility Processes; Markov models; Spearman's rank correlation coefficient

PL

Kurs walutowy; Procesy zmienności stochastycznej; Modele Markowa; Współczynnik korelacji rang Spearmana

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2014
• Tom: 6
• Numer: nr 1
• Strony: 33--56

Twórcy

autor

Małgorzata Doman

• Poznań University of Economics, Poland

autor

Ryszard Doman

• Adam Mickiewicz University in Poznań, Poland

Bibliografia

• [1] Almeida C., Czado C., (2012), Efficient Bayesian Inference for Stochastic Time-Varying Copula Models, Computational Statistics and Data Analysis, 56, 1511-1527.
• [2] Doornik J.A., (2006), An Object-oriented Matrix Programming Language - OxTM, Timberlake Consultants Ltd, London.
• [3] Eun C.S., Lai S.S., (2004), The Currency Co-movement, Georgia Institute of Technology Working Paper 21.
• [4] Eun C., Lai S., Lee K., (2013), Exchange Rates Comovement, KAIST Business School Working Paper Series, KCB-WP-2013-020.
• [5] Garcia R., Tsafack G., (2011), Dependence Structure and Extreme Comovements in International Equity and Bond Markets, Journal of Banking & Finance, 35 (8), 1954-1970.
• [6] Hamilton J.D., (1994), Time Series Analysis, Princeton University Press, Princeton.
• [7] Hansen P.R., Lunde A., Nason J.M., (2003), Choosing the Best Volatility Models: The Model Confidence Set Approach, Oxford Bulletin of Economics and Statistics, 65, 839-861.
• [8] Hansen P.R., Lunde A., (2010), MulCom 2.00, an OxTM Software Package for Multiple Comparisons, http://mit.econ.au.dk/vip_htm/alunde/mulcom/mulcom.htm
• [9] Hansen P.R., Lunde A., Nason J.M., (2011), The Model Confidence Set, Econometrica, 79 453-497.
• [10] Joe H., (1997), Multivariate Models and Dependence Concepts, Chapman and Hall, London.
• [11] Laurent S., (2009), Estimating and Forecasting ARCH Models Using G@RCH 6, Timberlake Consultants, London.
• [12] McNeil A.J., Frey A., Embrechts P., (2005), Quantitative Risk Management, Princeton University Press, Princeton
• [13] Min A., Czado C., (2010), Bayesian Inference for Multivariate Copulas Using Pair-Copula, Constructions, Journal of Financial Econometrics, 8, 511-546.
• [14] Nelsen R.B., (2006), An Introduction to Copulas, Springer, New York.
• [15] Patton A.J., (2004), On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation, Journal of Financial Econometrics, 2, 130-168
• [16] Patton A.J., (2006), Modelling Asymmetric Exchange Rate Dependence, International Economic Review, 47 (2), 527-556.
• [17] Patton A.J., (2012), A Review of Copula Models for Economic Time Series, Journal of Multivariate Analysis, 110, 4-18.
• [18] Patton A.J., (2013), Copula Methods for Forecasting Multivariate Time Series, Chapter 17, [in:] Handbook of Economic Forecasting, Vol. 2B [ed.:] G. Elliott, A. Timmermann, North-Holland, 899-960.
• [19] Sklar A., (1959), Fonctions de répartition à n dimensions et leurs marges, Publications de l'Institut Statistique de l'Université de Paris, 8, 229-231.
• [20] Triennial Central Bank Survey, (2013), Foreign exchange turnover in April, 2013: preliminary global results, Monetary and Economic Department, Bank for International Settlements, (available at http://www.bis.org/publ/rpfx13fx.pdf).
• [21] Tsay R.S., (2010), Analysis of Financial Time Series, Wiley, Hoboken.

Identyfikatory

DOI

DOI: 10.24425/cejeme.2014.119229