Title:

Modeling Exchange Rate Dependence Dynamics at Different Time Horizons

Authors:

Alexandra Dias (U Warwick)
Paul Embrechts (ETH Zurich)

Journal:

Journal of International Money and Finance

Year:

2010

Volume:

29

Pages:

1687-1705

JEL codes:

F31 - Foreign Exchange
G12 - Asset Pricing; Trading volume; Bond Interest Rates
G15 - International Financial Markets