Tail dependence structure of the foreign exchange market: A network view
作者：
Highlights：
• Tail dependence structure of the FX market is studied from a perspective of network.
• A concept of lower- and upper-tail dependence networks is proposed.
• The networks are built by combining the SJC copula with the MST and PMFG.
• Some notable differences between the two tail dependence networks are found.
• 3-cliques, 4-cliques and communities are detected in the two tail dependence PMFGs.
摘要
•Tail dependence structure of the FX market is studied from a perspective of network.•A concept of lower- and upper-tail dependence networks is proposed.•The networks are built by combining the SJC copula with the MST and PMFG.•Some notable differences between the two tail dependence networks are found.•3-cliques, 4-cliques and communities are detected in the two tail dependence PMFGs.
论文关键词：Dependence structure,Foreign exchange market,Network,Copula,Cluster analysis,Community structure
论文评审过程：Received 17 August 2014, Revised 25 October 2015, Accepted 27 October 2015, Available online 30 October 2015, Version of Record 18 November 2015.
论文官网地址：https://doi.org/10.1016/j.eswa.2015.10.037
