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

Małgorzata Doman , Ryszard Doman


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.
Author Małgorzata Doman (WIiGE / KMS)
Małgorzata Doman,,
- Department of Applied Mathematics
, Ryszard Doman - Adam Mickiewicz University (UAM)
Ryszard Doman,,
Journal seriesCentral European Journal of Economic Modelling and Econometrics, ISSN 2080-0886, e-ISSN 2080-119X, (B 14 pkt)
Issue year2014
Publication size in sheets1.15
Keywords in Englishexchange rates, FOREX, linkages, copula, Markov regime switching, Spearman’s rho, volatility, tail dependence, crisis
URL http://cejeme.eu/publishedarticles/2014-32-03-635373919320312500-5098.pdf
Languageen angielski
Score (nominal)14
Score sourcejournalList
ScoreMinisterial score = 8.0, 18-12-2019, ArticleFromJournal
Ministerial score (2013-2016) = 14.0, 18-12-2019, ArticleFromJournal
Citation count*9 (2020-09-25)
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