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.