Title :
Symmetrical Bernstein Copula and the Empirical Analysis of Foreign Exchange
Author :
Liu, Jing ; Shi, Daoji ; Wu, Xinrong
Author_Institution :
Sch. of Manage., Tianjin Univ., Tianjin
Abstract :
This paper studies the foreign exchange data whose dependence structure is approximate symmetry, such as Euro/Pound (euro/pound) and Dollar/Pound ($/pound). It fits their dependence structure by symmetrical Bernstein Copula, and estimates the marginal densities through Kernel density. Under the triangular no-arbitrage condition, the univariate distribution of Dollar / Euro ($/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.
Keywords :
foreign exchange trading; Kernel density; foreign exchange data; foreign exchange rate; marginal density; symmetrical Bernstein Copula; univariate distribution; Delay effects; Density functional theory; Distribution functions; Exchange rates; Kernel; Parameter estimation; Portfolios;
Conference_Titel :
Wireless Communications, Networking and Mobile Computing, 2007. WiCom 2007. International Conference on
Conference_Location :
Shanghai
Print_ISBN :
978-1-4244-1311-9
DOI :
10.1109/WICOM.2007.1003