Please use this identifier to cite or link to this item: http://cmuir.cmu.ac.th/jspui/handle/6653943832/53393
Title: An analysis of relationship between gold price and U.S. dollar index by using bivariate extreme value copulas
Authors: Mutita Kaewkheaw
Pisit Leeahtam
Chukiat Chaiboosri
Keywords: Computer Science
Engineering
Issue Date: 1-Jan-2014
Abstract: In this study, we analyse the behaviour of the gold price and U.S. dollar index by using bivariate extreme value and extreme value copulas. For measuring the dependence structure between the returns on gold price and U.S. dollar index, the paper uses the extreme value copula theory. This study presents the result that the returns on gold price and the U.S. dollar index are independence in the extreme. © Springer International Publishing Switzerland 2014.
URI: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84897837700&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/53393
ISSN: 21945357
Appears in Collections:CMUL: Journal Articles

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