Dynamic copula quantile regressions and tail area dynamic dependence in Forex markets

References

• Bouyé, E., N. Gaussel and M. Salmon. 2001. Investigating dynamic dependence using copulae. FERC Working Paper, Warwick Business School
   Google Scholar
• Buchinsky , M. 1998 . Recent advances in quantile regression models: A practical guideline for empirical research . Journal of Human Resources , 33 ( 1 ) : 88 – 126 .
   Web of Science ®Google Scholar
• Chen , X. and Fan , Y. 2006 . Estimation of copula based semiparametric time series models . Journal of Econometrics , 130 : 307 – 35 .
   Web of Science ®Google Scholar
• Coles , S. G. , Heffernan , J. E. and Tawn , J. A. 1999 . Dependence measures for extreme value analysis . Extremes , 2 : 339 – 65 .
   Google Scholar
• Darsow , W. F. , Nguyen , B. and Olsen , E. T. 1992 . Copulas and Markov processes . Illinois Journal of Mathematics , 36 ( 4 ) : 600 – 42 .
   Web of Science ®Google Scholar
• Dobrić , J. and Schmidt , F. 2005 . Nonparametric estimation of the lower tail dependence λ L in bivariate copulas . Journal of Applied Statistics , 32 : 387 – 407 .
   Web of Science ®Google Scholar
• Engle , R. F. and Mangenelli , S. 2004 . CAViaR: Conditional autoregressive value at risk by regression quantiles . Journal of Business and Economic Statistics , 22 ( 4 ) : 367 – 81 .
   Web of Science ®Google Scholar
• Esary , J. D. and Proschan , F. 1972 . Relationships among some concepts of bivariate dependence . Annals of Mathematical Statistics , 43 ( 2 ) : 651 – 55 .
   Google Scholar
• Hartmann , P. , Straetmans , S. and deVries , C. G. 2003 . “ A global perspective on extreme currency linkages ” . In Asset price bubbles: The implications for monetary, regulatory and international policies , Edited by: Hunter , W. C. , Kaufman , G. G. and Pomerleano , M. 361 – 82 . Cambridge, MA : MIT Press .
   Google Scholar
• Joe , H. 1997 . “ Multivariate models and dependence concepts ” . In Monographs on statistics and applied probability. 73 , Vol. 73 , London : Chapmann & Hall .
   Google Scholar
• Kim , T.-H. and White , H. 2003 . Estimation, inference and specification testing for possibly misspecified quantile regression . Advances in Econometrics , 17 : 107 – 32 .
   Google Scholar
• Koenker , R. 2005 . “ Quantile regression ” . In Econometric society monographs , Vol. 38 , Cambridge University Press .
   Google Scholar
• Koenker , R. and Bassett , G. Jr. 1978 . Regression quantiles . Econometrica , 46 ( 1 ) : 33 – 50 .
   Web of Science ®Google Scholar
• Koenker , R. and Hallock , K. 2001 . Quantile regression . Journal of Economic Perspectives , 15 : 143 – 56 .
   Web of Science ®Google Scholar
• Koenker , R. and Park , B. J. 1996 . An interior point algorithm for nonlinear quantile regression . Journal of Econometrics , 71 : 265 – 83 .
   Web of Science ®Google Scholar
• Lehmann , E. L. 1966 . Some concepts of dependence . Annals of Mathematical Statistics , 37 ( 5 ) : 1137 – 53 .
   Google Scholar
• Mari , D. D. and Kotz , S. 2001 . Correlation and dependence , London : Imperial College Press .
   Google Scholar
• Nelsen , R. B. 1998 . “ An introduction to copulas ” . In Lectures notes in statistics , Vol. 139 , New York : Springer Verlag .
   Google Scholar
• Patton , A. 2006 . Modelling asymmetric exchange rate dependence . International Economic Review , 47 ( 2 ) : 527 – 56 .
   Web of Science ®Google Scholar
• Powell , J. 1986 . Censored regression quantiles . Journal of Econometrics , 32 : 143 – 55 .
   Web of Science ®Google Scholar
• White , H. 1984 . Estimation, Inference and Specification Analysis , Cambridge : Cambridge University Press .
   Google Scholar