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

• المؤلفون الرئيسيون: Ji Ma, Jianxu Liu, Songsak Sriboonchitta
• التنسيق: Book Series
• منشور في: 2018
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85037855546&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/43904
• المؤسسة: Chiang Mai University

© 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...