A Copula-based Approach to the Analysis of the Returns of Exchange Rates to EUR of the Visegrad Countries

作者：Komornikova Magda^*; Komornik Jozef

来源：Acta Polytechnica Hungarica, 2010, 7(3): 79-91.

• bivariate copula
• return of exchange rates
• Kendall's tau
• convex combinations of copulas
• goodness of fit (GOF) test

The currencies of the Visegrad countries (Poland, the Czech Republic, Hungary, and Slovakia) have been considered by the international financial community as a basket of currencies which are closely related, especially in times of their depreciations. On July I, 2008 the official terminal exchange rate SKK/EUR was fixed During the following 8 months, the remaining three currencies (PLN, CZK, HUF) changed their long-term behaviour to one of strong parallel depreciation. On the other hand, in the first selected long-term period (January 4, 1999 June 30, 2008), a relatively mixed development of HUF seemed to exhibit a rather low degree of interdependence with CZK (that had been appreciating very intensively). The values of the Kendall's correlation coefficient calculated for all 3 remaining couples of returns substantially rose in the second period (indicating that similarities between the returns of these exchange rates are stronger in the times of crises). We have performed modeling and fitting of the dependencies of the above mentioned couples of returns of currencies in both the mentioned time periods by several classes of bivariate copulas, as well as by (optimized) convex combinations of their elements.

• 出版日期2010