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Cited by 2,112

The DOI matches its Crossref record; 47 of the 47 references it cites were found in a registry or an index.

MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*

Open access
Patton, Andrew J.·2006·International Economic Review
DOI 10.1111/j.1468-2354.2006.00387.x
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Abstract

We test for asymmetry in a model of the dependence between the Deutsche mark and the yen, in the sense that a different degree of correlation is exhibited during joint appreciations against the U.S. dollar versus during joint depreciations. We consider an extension of the theory of copulas to allow for conditioning variables, and employ it to construct flexible models of the conditional dependence structure of these exchange rates. We find evidence that the mark–dollar and yen–dollar exchange rates are more correlated when they are depreciating against the dollar than when they are appreciating.

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Crossref · 10.1111/j.1468-2354.2006.00387.x

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Metadata

Authors
Patton, A. J.
Venue
International Economic Review
Publisher
Wiley
Published
2006-04-11
Volume
47
Issue
2
Pages
527-556
ISSN
  • 0020-6598 (ISSN-L)
  • 1468-2354
DOI
10.1111/j.1468-2354.2006.00387.x
OpenAlex
W2122549219
Cited by
2,112
References
47
FWCI
87.42
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*. https://app.cochat.ai/papers/10.1111/j.1468-2354.2006.00387.x
The paper
Patton, A. J. (2006). MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*. International Economic Review. https://doi.org/10.1111/j.1468-2354.2006.00387.x

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.