MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE a

By Andrew J. Patton. 2006

2,226 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e1eeb0d88189df7494a38df427d85d8fb43c7d93

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Citations in the corpus

Glossary to ARCH (GARCH) (2008, methodology): “, Jondeau and Rockinger (2006) and Patton (2006) (see also CCC and DCC).”
Maximum likelihood estimation of skew-t copulas with its applications to stock returns (2018, neutral): “Patton [6] refers to the asymmetric dependence of foreign exchange rate and applies the Joe–Clayton copula, which has two parameters adjusting the upper and lower tail dependences and is”
Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecasts (2010, background): “1The set-up in Patton (2006) is similar, except that the marginal distributions need to be specified parametrically, while the copula can be time-varying.”
COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES (2009, background): “…to a wide range of problems in economics, finance, and risk management (see, among others, Cherubini, Luciano, and Vecchiato, 2004, and references therein; Patton, 2004; McNeil et al., 2005; Hu, 2006; the review in de la Peña et al., 2006; Granger, Teräsvirta, and Patton, 2006; Patton, 2006).”
Are "Market Neutral" Hedge Funds Really Market Neutral? (2009, background): “These new measures of neutrality build on recent contributions to the literature on asymmetric correlations and other generalizations of linear correlation (e.g., Ang and Chen 2002; Ang, Chen, and Xing 2006; Erb, Harvey, and Viskanta 1994; Longin and Solnik 2001; Patton 2006).”
A General Framework for Observation Driven Time-Varying Parameter Models (2008, positive): “In the case of copula models, the dependence parameters can be considered as time-varying, see Dias and Embrechts (2004), van den Goorbergh, Genest, and Werker (2005), and, in particular, Patton (2006).”
Using Conditional Copula to Estimate Value at Risk (2004, methodology): “For the definition of copulae for the general case (n > 2) and for more details, look at Nelsen (1999), Bouyé et al. (2000) and Patton (2003a).”
The economic value of co-movement between oil price and exchange rate using copula-based GARCH models (2011, background): “In addition, we follow the concept of Patton (2006) and Bartram et al. (2007) by assuming that the dependence parameters rely on past dependence and historical information (uo,t−1−0.5)(ue,t−1−0.5).”
Dynamic hedging with futures: A copula‐based GARCH model (2008, methodology): “Gumbel and Clayton copulas are the two asymmetric Archimedean copulas suggested 10 Replacing ut (vt) with 1-ut (1-vt), the density of the survival copula is a mirror image of the density of the original copula; i.e., c*(ut,vt)=c(1-ut,1-vt). by Cherubini et al (2004) for financial applications.11 Fol”
Extreme risk spillovers between crude oil and stock markets (2015, background): “The asymmetric character of returns and the underlying correlations in financialmarkets are investigated by Longin and Solnik (2001), Patton (2006) and Garcia and Tsafack (2011) among others.”