Modeling Exchange Rate Dependence Dynamics at Different Time Horizons
Alexandra Dias,
Paul Embrechts
Journal of International Money and Finance,
vol. 29, 2010, p. 1687-1705.
Testing for Structural Changes in Exchange Rates Dependence beyond Linear Correlation
Alexandra Dias,
Paul Embrechts
European Journal Of Finance,
vol. 15, 2009, p. 619-637.
Dependence Structures for Multivariate High-Frequency Data in Finance
Wolfgang Breymann,
Alexandra Dias,
Paul Embrechts
Quantitative Finance,
vol. 3, 2003, p. 1-14.