An analysis of relationship between gold price and U.S. dollar index by using bivariate extreme value copulas
In this study, we analyse the behaviour of the gold price and U.S. dollar index by using bivariate extreme value and extreme value copulas. For measuring the dependence structure between the returns on gold price and U.S. dollar index, the paper uses the extreme value copula theory. This study prese...
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th-cmuir.6653943832-452372018-01-24T06:07:07Z An analysis of relationship between gold price and U.S. dollar index by using bivariate extreme value copulas Mutita Kaewkheaw Pisit Leeahtam Chukiat Chaiboosri In this study, we analyse the behaviour of the gold price and U.S. dollar index by using bivariate extreme value and extreme value copulas. For measuring the dependence structure between the returns on gold price and U.S. dollar index, the paper uses the extreme value copula theory. This study presents the result that the returns on gold price and the U.S. dollar index are independence in the extreme. © Springer International Publishing Switzerland 2014. 2018-01-24T06:07:07Z 2018-01-24T06:07:07Z 2014-01-01 Book Series 21945357 2-s2.0-84897837700 10.1007/978-3-319-03395-2_29 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84897837700&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/45237 |
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In this study, we analyse the behaviour of the gold price and U.S. dollar index by using bivariate extreme value and extreme value copulas. For measuring the dependence structure between the returns on gold price and U.S. dollar index, the paper uses the extreme value copula theory. This study presents the result that the returns on gold price and the U.S. dollar index are independence in the extreme. © Springer International Publishing Switzerland 2014. |
| format |
Book Series |
| author |
Mutita Kaewkheaw Pisit Leeahtam Chukiat Chaiboosri |
| spellingShingle |
Mutita Kaewkheaw Pisit Leeahtam Chukiat Chaiboosri An analysis of relationship between gold price and U.S. dollar index by using bivariate extreme value copulas |
| author_facet |
Mutita Kaewkheaw Pisit Leeahtam Chukiat Chaiboosri |
| author_sort |
Mutita Kaewkheaw |
| title |
An analysis of relationship between gold price and U.S. dollar index by using bivariate extreme value copulas |
| title_short |
An analysis of relationship between gold price and U.S. dollar index by using bivariate extreme value copulas |
| title_full |
An analysis of relationship between gold price and U.S. dollar index by using bivariate extreme value copulas |
| title_fullStr |
An analysis of relationship between gold price and U.S. dollar index by using bivariate extreme value copulas |
| title_full_unstemmed |
An analysis of relationship between gold price and U.S. dollar index by using bivariate extreme value copulas |
| title_sort |
analysis of relationship between gold price and u.s. dollar index by using bivariate extreme value copulas |
| publishDate |
2018 |
| url |
https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84897837700&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/45237 |
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