The dollar-euro exchange rate and macroeconomic fundamentals: a time-varying coefficient approach

Modelling the bivariate dependence struc

Modelling the bivariate dependence structure of exchange rates before and after the introduction of the euro: a semi-parametric approach

✍ Gianna Boero; Param Silvapulle; Ainura Tursunalieva 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 869 KB

This paper investigates the bivariate dependence structure for three pairs of exchange rates measured against the US dollar: Euro and Japanese yen (JY), Euro and GBP, Euro and Swiss franc (CHF), in the pre-, post-Euro and the transition periods with the sample period ranging from January 1994 to Nov