A New Dynamic Mixture Copula Mechanism to Examine the Nonlinear and Asymmetric Tail Dependence Between Stock and Exchange Rate Returns
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DOI: 10.1007/s10614-020-09981-5
Abstract: This paper develops a new time-varying mixture copula, in which the dynamic weights of four distinct copulas are determined by a two-stratum process, to investigate the magnitude of tail dependence in four independent quadrants. In… read more here.
Keywords: tail dependence; copula; dependence; mixture copula ... See more keywords