摘要(英) |
Using the data of exchange rates and stock markets between 2005 and 2010 for United States, Canada and Mexico, this thesis studies the correlation between the exchange rates and the stock markets after the global financial crisis. We observe the asymmetry structure of the exchange rates and the stock markets, and identify the most suitable model by different copula models. The investment periods of data are including: monthly return, seasonally return, half-yearly return and yearly return. We find the phenomenon of asymmetric dependence in each investment periods. However, the asymmetry is more obvious as the investment period increases.
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參考文獻 |
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