Physical Sciences and Mathematics Commons^™

Interdependence Across Foreign Exchange Rate Markets- A Mixed Copula Approach, Richard Adjei-Boateng

Masters Theses & Specialist Projects

The purpose of this thesis is to study the dependence structure of exchange rate pairs using a mixture of copula as opposed to a single copula approach. Mixed copula models have the ability to generate dependence structures that do not belong to existing copula families. The flexibility in choosing component copulas in this mixture model aids the construction of a system that is simultaneously parsimonious and flexible enough to generate most dependence patterns in exchange rate data. Furthermore, the method of mixture copulas facilitates the separation of both the structure and degree of dependence, concepts that are respectively embodied in …