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
AbstractIn 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.
|Journal series||Central European Journal of Economic Modelling and Econometrics, ISSN 2080-0886, e-ISSN 2080-119X, (B 14 pkt)|
|Publication size in sheets||1.15|
|Keywords in English||exchange rates, FOREX, linkages, copula, Markov regime switching, Spearman’s rho, volatility, tail dependence, crisis|
|Score|| = 8.0, 18-12-2019, ArticleFromJournal|
= 14.0, 18-12-2019, ArticleFromJournal
|Citation count*||9 (2020-09-25)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.