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Time evolutions of copulas and foreign exchange markets

dc.contributor.authorKupka I.
dc.contributor.authorKiseľák J.
dc.contributor.authorIshimura N.
dc.contributor.authorYoshizawa Y.
dc.contributor.authorSalazar L.
dc.contributor.authorStehlík M.
dc.date.accessioned2020-09-02T22:21:10Z
dc.date.available2020-09-02T22:21:10Z
dc.date.issued2018
dc.identifier10.1016/j.ins.2018.07.052
dc.identifier.citation467, , 163-178
dc.identifier.issn00200255
dc.identifier.urihttps://hdl.handle.net/20.500.12728/5016
dc.descriptionTime 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. © 2018 Elsevier Inc.
dc.language.isoen
dc.publisherElsevier Inc.
dc.subjectConvergence
dc.subjectCopula
dc.subjectEvolution
dc.subjectForex
dc.subjectLipschitzianity
dc.subjectFinancial markets
dc.subjectConvergence
dc.subjectCopula
dc.subjectEvolution
dc.subjectForex
dc.subjectLipschitzianity
dc.subjectCommerce
dc.titleTime evolutions of copulas and foreign exchange markets
dc.typeArticle


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