Time evolutions of copulas and foreign exchange markets

被引：2

作者：

Kupka, Ivan ^{[7
]}

Kisel'ak, Jozef ^{[1
,2
,4
]}

Ishimura, Naoyuki ^{[5
]}

Yoshizawa, Yasukazu ^{[6
]}

Salazar, Ledys ^{[3
,8
]}

Stehlik, Milan ^{[1
,2
,3
,9
]}

机构：

[1] Johannes Kepler Univ Linz, LIT, Linz, Austria

[2] Johannes Kepler Univ Linz, Dept Appl Stat, Linz, Austria

[3] Univ Valparaiso, Dept Stat, Valparaiso, Chile

[4] Safarik Univ, Fac Sci, Inst Math, Kasice, Slovakia

[5] Chuo Univ, Fac Commerce, Hachioji, Tokyo 1920393, Japan

[6] Toyo Univ, Fac Business Adm, Tokyo 1128606, Japan

[7] Comenius Univ, Dept Math Anal & Numer Math, Bratislava, Slovakia

[8] Univ Autonoma Chile, Fac Adm Negocios, Ingn Comercial, Santiago, Chile

[9] Arizona State Univ, Sch Math & Stat Sci, Tempe, AZ USA

来源：

INFORMATION SCIENCES | 2018年 / 467卷

关键词：

Copula; Evolution; Lipschitzianity; Convergence; Forex; BIVARIATE; OPTIONS;

D O I：

10.1016/j.ins.2018.07.052

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Time evolution of copulas is well visible in such a dynamical market as foreign exchange market (ForeX, FX, or currency market). We first show how several families of copulas evolving in time for EURO-JPY and CHF-JPY at ForeX market. Black-Scholes paradigm suggest to apply evolution of copulas with respect to heat equation. Stationary limit of such an evolution is proven to be an independence copula under strong regularity conditions. However, empirical observations of ForeX stock confirm that reality can be more delicate, because of the ForeX market violations. The manuscript shows that under slight changes of topology, the limiting object is not a copula, because the 1-Lipschitzianity continuity is violated. The authors study these kinds of convergences with respect to FEMA (Foreign Exchange Management Act) violations. (C) 2018 Elsevier Inc. All rights reserved.

引用

页码：163 / 178

页数：16

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