The dependence structure and portfolio risk of Malaysia's foreign exchange rates: the Bayesian GARCH–EVT–copula model

PurposeThis paper investigates the dependence structure and market risk of the currency exchange rate portfolio from the Malaysian ringgit perspective.Design/methodology/approachThe marginal return of the five major exchange rates series, i.e. United States dollar (USD), Japanese yen (JPY), Singapor...

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Veröffentlicht in:	International journal of emerging markets 2021-07, Vol.16 (5), p.952-974
Hauptverfasser:	Yeap, Xiu Wei, Lean, Hooi Hooi, Sampid, Marius Galabe, Mohamad Hasim, Haslifah
Format:	Artikel
Sprache:	eng
Schlagworte:	American dollar Bayesian analysis Currency Diversification Emerging markets Estimates Foreign exchange markets Foreign exchange rates Hedging Innovations Renminbi Stochastic models Stock exchanges Volatility
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