Modelling the Dependency between Inflation and Exchange Rate Using Copula
In this paper, we propose a copula approach in measuring the dependency between inflation and exchange rate. In unveiling this dependency, we first estimated the best GARCH model for the two variables. Then, we derived the marginal distributions of the standardised residuals from the GARCH. The Lapl...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2020-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2020/2345746 |
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