This paper applies multivariate factor copula modeling methods to study the dependence relationships of exchange rates. We found that conditional on the common factors, the dependence among the chosen currencies is weakly asymmetric, and the two-factor Gaussian copula modeling hypothesis is more appropriate.

This paper examines the dynamic dependence between American and four developed stock markets, namely, Japan, United Kingdom, Germany and France during a recent period including the global …nancial crisis 2007-2009. The econometric approach is based on the extreme-value time-varying copula functions. Speci…cally, the marginal distributions are reproduced by an extreme-value based model while the...