Conditional Dependence Among Oil, Gold and U.S. Dollar Exchange Rates: A Copula-GARCH Approach

DOI10.1007/978-3-030-49728-6_14zbMath1479.91423OpenAlexW3047361900MaRDI QIDQ5015928

Tonghui Wang, Zijing Zhang, Zheng Wei, Hong-Kun Zhang

Publication date: 10 December 2021

Published in: Studies in Computational Intelligence (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-49728-6_14

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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• Goodness-of-fit tests for copulas: A review and a power study
• An introduction to copulas.
• Multivariate dependence concepts through copulas
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Dependence Modeling with Copulas
• Understanding Relationships Using Copulas

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