References
- Bahmani-Oskooee, M., and A. Soharabian. 1992. “Stock Prices and the Effective Exchange Rate of the Dollar.” Applied Economics 24 (4): 459–464. doi:10.1080/00036849200000020.
- Branson, W. H. 1983. “Macroeconomic Determinants of Real Exchange Risk.” In Managing Foreign Exchange Risk, edited by R. J Herring, 33–74. Cambridge, England: Cambridge University Press.
- Chang, K. L. 2021. “A New Dynamic Mixture Copula Mechanism to Examine the Nonlinear and Asymmetric Tail Dependence between Stock and Exchange Rate Returns.” Computational Economics 58 (4): 965–999. doi:10.1007/s10614-020-09981-5.
- Dornbusch, R., and S. Fischer. 1980. “Exchange Rates and the Current Account.” American Economic Review 70: 960–971 doi:10.1126/science.151.3712.867-a.
- Hau, H., and H. Rey. 2006. “Exchange Rate, Equity Prices, and Capital Inflows.” Review of Financial Studies 19 (1): 273–317. doi:10.1093/rfs/hhj008.
- Liu, B. Y., Q. Ji, and Y. Fan. 2017. “A New time-varying Optimal Copula Model Identifying the Dependence across Markets.” Quantitative Finance 17 (3): 437–453. doi:10.1080/14697688.2016.1205208.
- Michelis, L., and C. Ning. 2010. “The Dependence Structure between the Canadian Stock Market and the USD/CAD Exchange Rate: A Copula Approach.” Canadian Journal of Economics 43 (3): 1016–1039. doi:10.1111/j.1540-5982.2010.01604.x.
- Naeem, M. A., E. Bouri, M. D. Costa, N. Naifar, and S. J. H. Shahzad. 2021. “Energy Markets and Green Bond: A Tail Dependence Analysis with time-varying Optimal Copulas and Portfolio Implications.” Resources Policy 74: 102418. doi:10.1016/j.resourpol.2021.102418.
- Ng, W. L. 2008. “Modeling Duration with Dynamic Copulas.” Finance Research Letters 5 (2): 96–103. doi:10.1016/j.frl.2008.01.001.
- Ning, C., and T. S. Wirjanto. 2009. “Extreme return-volume Dependence in East-Asian Stock Market: A Copula Approach.” Finance Research Letters 6 (4): 202–209. doi:10.1016/j.frl.2009.09.002.
- Ning, C. 2010. “Dependence Structure between the Equity Market and the Foreign Exchange market-A Copula Approach.” Journal of International Money and Finance 29 (5): 743–759. doi:10.1016/j.jimonfin.2009.12.002.
- Reboredo, J. C., M. A. Rivera-Castro, and A. Ugolini. 2016. “Downside and Upside Risk Spillovers between Exchange Rates and Stock Prices.” Journal of Banking and Finance 62: 76–96. doi:10.1016/j.jbankfin.2015.10.011.
- Turgutlu, E., and B. Ucer. 2010. “Is Global Diversification Rational? Evidence from Emerging Equity Markets through Mixed Copula Approach.” Applied Economics 42 (5): 647–658. doi:10.1080/00036840701704485.