Quantifying Foreign Exchange Risk in the Selected Listed Sectors of the Johannesburg Stock Exchange: An SV-EVT Pairwise Copula Approach
This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) and to model the dependence structure of the underlying assets with some selected listed stock indices. We filte...
Uloženo v:
| Hlavní autoři: | , |
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| Médium: | Artigo |
| Jazyk: | Inglês |
| Vydáno: |
MDPI AG
2022-04-01
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| Edice: | International Journal of Financial Studies |
| Témata: | |
| On-line přístup: | https://www.mdpi.com/2227-7072/10/2/24 |
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