Essec\Faculty\Model\Contribution {#6196
  #_index: "academ_contributions"
  #_id: "4484"
  #_source: array:26 [
    "id" => "4484"
    "slug" => "correlation-of-foreign-exchange-markets-an-extreme-value-study"
    "yearMonth" => "1999-05"
    "year" => "1999"
    "title" => "Correlation of Foreign Exchange Markets: an Extreme Value Study"
    "description" => "LONGIN, F. (1999). Correlation of Foreign Exchange Markets: an Extreme Value Study. Dans: <i>Globalization in the 21st Century</i>. International Trade and Finance Association (ITFA), pp. 15-32."
    "authors" => array:1 [
      0 => array:3 [
        "name" => "LONGIN François"
        "bid" => "B00000328"
        "slug" => "longin-francois"
      ]
    ]
    "ouvrage" => "Globalization in the 21st Century"
    "keywords" => []
    "updatedAt" => "2021-04-19 17:57:25"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => "15-32"
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Actes d'une conférence"
      "en" => "Conference Proceedings"
    ]
    "support_type" => array:2 [
      "fr" => "Editeur"
      "en" => "Publisher"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Cette recherche présente une étude empirique de la corrélation des marchés de change en période de forte volatilité caractérisée par des mouvements extrêmes des taux de change. La modélisation de la distribution des variations des taux de change s'appuie sur la théorie des valeurs extrêmes dans le cadre multivarié. Cette théorie statistique donne des résultats intéressants concernant la corrélation des variations de taux de change dans des conditions extrêmes de marché. Empiriquement, la corrélation des taux de change EUR/USD et EUR/JPY tend à décroître en période de forte volatilité. Un tel résultat est consistent avec l'hypothèse de normalité pour la distribution des variations de taux de change."
      "en" => "This paper presents an empirical study of the correlation of foreign exchange markets focusing on periods of high volatility characterized by extreme variations in exchange rates. The modeling of the distribution of the changes in foreign exchange rates is based on multivariate extreme value theory. This statistical theory gives interesting results about the correlation of the changes in foreign exchange rates during extreme market conditions. Empirically, it is found that the correlation of the changes in the EUR/USD and EUR/JPY exchange rates tends to decrease in period of extreme volatility. Such a result is consistent with the hypothesis of normality for the distribution of changes in foreign exchange rates."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-04-19T22:21:59.000Z"
    "docTitle" => "Correlation of Foreign Exchange Markets: an Extreme Value Study"
    "docSurtitle" => "Actes d'une conférence"
    "authorNames" => "<a href="/cv/longin-francois">LONGIN François</a>"
    "docDescription" => "<span class="document-property-authors">LONGIN François</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">1999</span>"
    "keywordList" => ""
    "docPreview" => "<b>Correlation of Foreign Exchange Markets: an Extreme Value Study</b><br><span>1999-05 | Actes d'une conférence </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Correlation of Foreign Exchange Markets: an Extreme Value Study</a>"
  ]
  +lang: "fr"
  +"_type": "_doc"
  +"_score": 9.101864
  +"parent": null
}