Symmetrical Bernstein Copula and the Empirical Analysis of Foreign Exchange

摘要：

This paper studies the foreign exchange data whose dependence structure is approximate symmetry, such as Euro/Pound (€/￡) and Dollar/Pound ($/￡). It fits their dependence structure by symmetrical Bernstein Copula, and estimates the marginal densities through Kernel density. Under the triangular no-arbitrage condition, the univariate distribution of Dollar / Euro ($/€) exchange rate implied by the bivariate distribution of these two exchange rates is consistent with the univariate distribution which is estimated by the Kernel density.

关键词： Copula symmetrical Bernstein Copula exchange rate

作者: Jing Liu Daoji Shi Xinrong Wu

作者单位: School of Science, Tianjin University, Tianjin, China

会议类型: 国际会议

会议名称: 第三届IEEE无线通讯、网络技术暨移动计算国际会议

会议地点: 上海

会议语种:英文

在线出版日期: 2007-09-21（万方平台首次上网日期，不代表论文的发表时间）