315
Views
35
CrossRef citations to date
0
Altmetric
Original Articles

Testing for structural changes in exchange rates’ dependence beyond linear correlation

&
Pages 619-637 | Published online: 06 Nov 2007

References

  • Andersen , T. G. , Bollerslev , T. and Diebold , F. X. 2005 . “ Parametric and nonparametric volatility measurement ” . In Handbook of financial econometrics , Edited by: Hansen , L. P. and Ait-Sahalia , Y. Amsterdam : North-Holland .
  • Andreou , E. and Ghysels , E. 2003 . Tests for breaks in the conditional co-movements of assets returns . Statistica Sinica , 13 : 1045 – 73 .
  • Bai , J. 1997 . Estimating multiple breaks one at a time . Econometric Theory , 13 : 551 – 63 .
  • Bai , J. and Perron , P. 1998 . Estimating and testing linear models with multiple structural changes . Econometrica , 66 : 47 – 78 .
  • Bollerslev , T. , Chou , R. Y. and Kroner , K. 1992 . ARCH modeling in finance . Journal of Econometrics , 52 : 5 – 59 .
  • Boyer , B. H. , Gibson , M. S. and Loretan , M. 1999 . Pitfalls in tests for changes in correlations . International Finance Discussion Paper 597. Board of Governors of the Federal Reserve System. http://www.federalreserve.gov/Pubs/Ifdp/1997/597/ifdp597.pdf
  • Breymann , W. , Dias , A. and Embrechts , P. 2003 . Dependence structures for multivariate high-frequency data in finance . Quantitative Finance , 3 : 1 – 14 .
  • Chen , X. and Fan , Y. 2005 . Estimation of copula-based semiparametric time series models . Journal of Econometrics , 130 ( 2 ) : 307 – 35 .
  • Cherubini , U. , Luciano , E. and Vecchiato , W. 2004 . Copula methods in finance , Chichester : Wiley .
  • Choi , K. and Zivot , E. 2007 . Long memory and structural changes in the forward discount: An empirical investigation . Journal of International Money and Finance , 26 ( 3 ) : 342 – 63 .
  • Csörgõ , M. and Horváth , L. 1997 . Limit theorems in change-point analysis , Chichester : Wiley .
  • Daul , S. , Giorgi , E.D. , Lindskog , F. and McNeil , A. 2003 . Using the grouped t-copula . RISK Magazine , 16 ( 11 ) : 73 – 6 .
  • Demarta , S. and McNeil , A. J. 2005 . The t-copula and related copulas . International Statistical Review , 73 ( 1 ) : 111 – 29 .
  • Dias , A. and Embrechts , P. 2002 . “ Change-point analysis for dependence structures in finance and insurance ” . In Novos Rumos em Estatística , Edited by: Carvalho , C. , Brilhante , F. and Rosado , F. 9 – 86 . Lisbon : Sociedade Portuguesa de Estatística.; . also in Risk measures for the 21st century. Chap. 16, ed. G. Szegö, 321–35. New York: JohnWiley and Sons
  • Diebold , F. X. and Inoue , A. 2001 . Long memory and regime switching . Journal of Econometrics , 105 ( 1 ) : 131 – 59 .
  • Embrechts , P. , McNeil , A. J. and Straumann , D. 2002 . “ Correlation and dependence in risk management: Properties and pitfalls ” . In Risk management: Value at risk and beyond , Edited by: Dempster , M. 176 – 223 . Cambridge : Cambridge Univ. Press .
  • Engle , R. F. 1982 . Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation . Econometrica , 50 ( 4 ) : 987 – 1007 .
  • Engle , R. F. 2002 . Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroscedasticity models . Journal of Business and Economic Statistics , 20 ( 3 ) : 339 – 50 .
  • Engle , R. F. and Kroner , K. F. 1995 . Multivariate simultaneous generalized ARCH . Econometric Theory , 11 ( 1 ) : 122 – 50 .
  • Engle , R. F. and Sheppard , K. 2001 . “ Theoretical and empirical properties of dynamic conditional correlation MVGARCH ” . San Diego : University of California . Working Paper No. 2001-15
  • Fortin , I. and Kuzmics , C. 2002 . Tail-dependence in stock return-pairs . International Journal of Intelligent Systems in Accounting, Finance & Management , 11 ( 2 ) : 89 – 107 .
  • Francis , N. and Owyang , M. T. 2005 . Monetary policy in a markov-switching VECM: Implications for the cost of disinflation and the price puzzle . Journal of Business and Economic Statistics , 23 ( 3 ) : 305 – 13 .
  • Genest , C. , Ghoudi , K. and Rivest , L.-P. 1995 . A semiparametric estimation procedure of dependence parameters in multivariate families of distributions . Biometrika , 82 ( 3 ) : 543 – 52 .
  • Giacomini , E. , Härdle , W. K. , Ignatieva , E. and Spokoiny , V. 2006 . Inhomogeneous dependency modelling with time varying copulae . SFB 649 Discussion Paper 2006-075, Weierstrass Institute for Applied Analysis and Stochastics. http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2006-075.pdf
  • Gombay , E. and Horváth , L. 1999 . Change-points and bootstrap . Environmetrics , 10 : 725 – 36 .
  • Hamilton , J. D. 1990 . Analysis of time series subject to changes in regime . Journal of Econometrics , 45 ( 1–2 ) : 39 – 70 .
  • Hansen , B. E. 2001 . The new econometrics of structural change: Dating breaks in US Labor Productivity . Journal of Economic Perspectives , 15 : 117 – 28 .
  • Hosking , J. R.M. 1980 . The multivariate portmanteau statistic . Journal of the American Statistical Association , 75 ( 371 ) : 602 – 8 .
  • Joe , H. 1997 . Multivariate models and dependence concepts , London : Chapman & Hall .
  • Longin , F. and Solnik , B. 2001 . Extreme correlation of international equity markets . Journal of Finance , LVI ( 2 ) : 649 – 76 .
  • Loretan , M. and Phillips , P. C.B. 1994 . Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial data sets . Journal of Empirical Finance , 1 ( 2 ) : 211 – 28 .
  • McNeil , A. J. , Frey , R. and Embrechts , P. 2005 . Quantitative risk management: Concepts, techniques and tools , Princeton, NJ : Princeton Univ. Press .
  • Mikosch , T. and Stărică , C. 2000 . “ Is it really long memory we see in financial returns? ” . In Extremes and integrated risk management , Edited by: Embrechts , P. 149 – 68 . London : Risk Books, Waters Group .
  • Mikosch , T. and Stărică , C. 2004 . Non-stationarities in financial time series, the long range dependence and the IGARCH effects . Review of Economics and Statistics , 86 ( 1 ) : 378 – 90 .
  • Nelsen , R. B. 2006 . An introduction to copulas , 2 , New York : Springer . Springer Series in Statistics
  • Patton , A. J. 2006a . Estimation of multivariate models for time series of possibly different lengths . Journal of Applied Econometrics , 21 : 147 – 73 .
  • Patton , A. J. 2006b . Modelling asymmetric exchange rate dependence . International Economic Review , 47 ( 2 ) : 527 – 56 .
  • Pesaran , M. H. , Schuermann , T. and Weiner , S. M. 2004 . Modeling regional interdependencies using a global errorcorrecting macroeconometric model . Journal of Business Economics and Statistics , 22 ( 2 ) : 129 – 62 .
  • Polzehl , J. and Spokoiny , V. 2006 . Varying coefficient GARCH versus local constant volatility modeling: Comparison of the predictive power . SFB 649 Discussion Paper 2006-033, Weierstrass Institute for Applied Analysis and Stochastics. http://edoc.hu-berlin.de/series/sfb-649-papers/2006-33/PDF/33.pdf
  • Rockinger , M. and Jondeau , E. 2006 . The copula-GARCH model of conditional dependencies: An international stockmarket application . Journal of International Money and Finance , 25 ( 5 ) : 827 – 53 .
  • Rosenberg , J. V. and Schuermann , T. 2006 . A general approach to integrated risk management with skewed, fat-tailed risks . Journal of Financial Economics , 79 ( 3 ) : 569 – 614 .
  • Sklar , A. 1959 . Fonctions de répartition à n dimensions et leurs marges . Publications de l'Institut de Statistique de L'Université de Paris , 8 : 229 – 31 .
  • Vostrikova , L. J. 1981 . Detecting “disorder” in multidimensional random processes . Soviet Mathematics Doklady , 24 ( 1 ) : 55 – 9 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.