Dynamic Linkages in the Pairs (GBPEUR, USDEUR) and (GBPUSD, EURUSD) How Do They Change During a Day

Authors

  • Małgorzata Doman Poznań University of Economics;
  • Ryszard Doman Adam Mickiewicz University in Poznań;

DOI:

https://doi.org/10.24425/cejeme.2014.119229

Keywords:

exchange rates, FOREX, linkages, copula, Markov regime switching, Spearman’s rho, volatility, tail dependence, crisis

Abstract

In the paper, we document how conditional dependencies observed in the
FOREX market change during a trading day. The analysis is performed for the
pairs (GBP/EUR, USD/EUR) and (GBP/USD, EUR/USD) of exchange rates.
We consider daily returns calculated using the exchange rates quoted at different
hours of a day. The dynamics of the dependencies is modeled by means of 3-
regime Markov regime switching copula models, and the strength of the linkages
is described using dynamic Spearman’s rho and the dynamic coefficients of tail
dependence. The established approach allows us to monitor the changes in the
dependence structure.

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Published

2014-05-19

How to Cite

Doman, M., & Doman, R. (2014). Dynamic Linkages in the Pairs (GBPEUR, USDEUR) and (GBPUSD, EURUSD) How Do They Change During a Day. Central European Journal of Economic Modelling and Econometrics, 6(1), 33–56. https://doi.org/10.24425/cejeme.2014.119229

Issue

Vol. 6 No. 1 (2014): Central European Journal of Economic Modelling and Econometrics

Section

ARTICLES

License

Copyright (c) 2025 Małgorzata Doman, Ryszard Doman

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

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