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• W2501581767 abstract "AbstractIn this study, the dynamic dependence between the international crude oil return and the exchange rate return for Taiwan is examined. Two mixture copulas (SJC and GSG) and two dynamic dependences (a Markov-switching type and an AR-like type) are considered in order to study whether the dynamic dependence is mixed and asymmetric. The empirical results show that the Markov-switching GSG copula performs the best when compared to other specifications investigated in this paper. The relationship is positive and symmetric during periods of volatile crude oil prices, while it is independent during periods of stable crude oil prices." @default.
• W2501581767 created "2016-08-23" @default.
• W2501581767 creator A5005357720 @default.
• W2501581767 date "2016-08-02" @default.
• W2501581767 modified "2023-09-24" @default.
• W2501581767 title "A Mixed Dependence Between the Exchange Rate and International Crude Oil Returns: An Application of Dynamic Mixture Copula" @default.
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• W2501581767 doi "https://doi.org/10.1080/1540496x.2016.1204909" @default.
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