We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index.
- Authors
Hurd, Matthew; Salmon, Mark; Schleicher, Christoph
- Abstract
The article focuses on the financial implications of option contracts on exchange rates. It aims to provide a method estimating option-implied distributions for effective exchange rates. It discusses the concepts of the sterling effective exchange rate and the important role of copulas in constructing bivariate foreign exchange distributions in the sterling index. It mentions the methods that can be applied in these distributions, particularly between euro-dollar and U.S.-dollar exchange rates.
- Subjects
CONTRACTS; FOREIGN exchange rates; COPULA functions; INTERNATIONAL finance; FINANCIAL management
- Publication
Bank of England Quarterly Bulletin, 2007, Vol 47, Issue 4, p544
- ISSN
0005-5166
- Publication type
Article