A
Alexandra Dias
Researcher at University of York
Publications - 22
Citations - 1361
Alexandra Dias is an academic researcher from University of York. The author has contributed to research in topics: Portfolio & Copula (probability theory). The author has an hindex of 10, co-authored 20 publications receiving 1306 citations. Previous affiliations of Alexandra Dias include University of Warwick & University of Leicester.
Papers
More filters
Journal ArticleDOI
Dependence structures for multivariate high-frequency data in finance
TL;DR: This paper investigates bivariate series of high-frequency FX spot data for major FX markets and investigates the dependence structure as a function of the timescale, putting particular emphasis on the tail behaviour which is investigated by means of copulas.
Journal ArticleDOI
Dependence structures for multivariate high-frequency data in finance
TL;DR: In this paper, a bivariate series of high-frequency FX spot data for major FX markets is investigated and the dependence structure as a function of the timescale is analyzed in detail.
Posted Content
Dynamic copula models for multivariate high-frequency data in flnance
Alexandra Dias,Paul Embrechts +1 more
TL;DR: In this paper, the conditional copula for two dimensional high-frequency data is analyzed and the dependence structure of the conditional Copula is analyzed for multivariate high frequency data, and the existence of change-points in the copula is investigated.
Journal ArticleDOI
Modeling exchange rate dependence dynamics at different time horizons
Alexandra Dias,Paul Embrechts +1 more
TL;DR: In this paper, a flexible time-varying copula model is proposed to model the conditional correlation between exchange rates and is applied to Euro/US dollars and Japanese Yen/US dollar.
Journal Article
Change-point analysis for dependence structures in finance and insurance
TL;DR: This work will discuss changes in dependence structures by using change-point techniques for specific parametric copula families using basic theory and applied examples.