Tid: 9 maj 2005 kl 1515-1600
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Georges Mansourati.
Titel: The Effect of Changes in the Yield Curve on Exchange Rate Dependence. (Examensarbete)
Sammanfattning: Studying dependence between financial instruments is important for banks and other financial institutions. We apply copula techniques to study the effects of the yield curve as an external factor on exchange rate dependence. We find evidence that large jumps in short term yields affect exchange rate dependence.