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Activity Number: 610
Type: Contributed
Date/Time: Thursday, August 6, 2009 : 10:30 AM to 12:20 PM
Sponsor: Business and Economic Statistics Section
Abstract - #303733
Title: Modeling Currency Exchange Rate Dependency Between Taiwan and Japan
Author(s): Yi-Kuan Jong*+
Companies: St. John's University
Address: Room M916 , Tamshui, , Taiwan
Keywords: Currency exchange ; Copula ; Dependent Structure
Abstract:

In Asia, Japan is one of the most influential country in the world. The currency exchange rate of TWD-USD are often influenced by the exchange rate of JPY-USD. In this paper, we want to study the dependency structure of currency exchange rates between TWD-USD and JPY-USD. We have founf that traditional bivariate normal distribution is not proper way to model the dependence structure for returns of these two currenies. In this paperWe use bivariate copulae to model correlations between TWD-USD and JPY-USD exchange rates and come up a proper model for it.

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