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Journal of Statistical Theory and Practice Volume 5, 2011 - Issue 3: Stochastic Analysis and its Applications
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Original Articles

Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversified World Stock Index

Katja Ignatieva Macquarie University Sydney, NSW, 2109, Australia; Goethe University Frankfurt, 60323, Germany
,
Eckhard Platen University of Technology, Sydney, NSW, 2007, Australia
&
Renata Rendek University of Technology, Sydney, NSW, 2007, Australia
Pages 425-452 | Received 31 Aug 2010, Published online: 30 Nov 2011

Citations (5)

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Read on this site (1)

Katja Ignatieva & Natalia Ponomareva. (2017) Commodity currencies and commodity prices: modelling static and time-varying dependence. Applied Economics 49:15, pages 1491-1512.
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Articles from other publishers (4)

Katja Ignatieva & Zinoviy Landsman. (2015) Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions. Insurance: Mathematics and Economics 65, pages 172-186.
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Jan Baldeaux & Eckhard PlatenJan Baldeaux & Eckhard Platen. 2013. Functionals of Multidimensional Diffusions with Applications to Finance. Functionals of Multidimensional Diffusions with Applications to Finance 23 63 .
Katja Ignatieva & Natalia Ponomareva. (2016) Commodity Currencies and Commodity Prices: Modelling Static and Time-Varying Dependence. SSRN Electronic Journal.
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Katja Ignatieva & Zinoviy Landsman. (2015) Estimating the Tails of Loss Severity via Conditional Risk Measures for the Family of Symmetric Generalised Hyperbolic Family. SSRN Electronic Journal.
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