A portfolio optimization between us dollar index and some asian currencies with a copula-EGARCH approach

© Springer International Publishing AG 2018. There is a strong correlation between the value of the US dollar and the Asian currencies. EGARCH-copula model, with the skewed student-t distribution and the skewed general error distribution, can be used to capture the dependence correlation between US...

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Bibliographic Details
Main Authors: Ji Ma, Jianxu Liu, Songsak Sriboonchitta
Format: Book Series
Published: 2018
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85037855546&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/43904
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Institution: Chiang Mai University

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