Copula Approach for Modeling Oil and Gold Prices and Exchange Rate Co-movements in Iran

摘要

Modeling dependence between financial returns is regarded as a difficult task. It has been shown that, gold and oil prices and exchange rate are skewed and leptokurtic which illustrate tail dependence and asymmetric distributional properties. In this study a new methodology based on copula functions and application of GARCH models with focus on fitting these models to mention financial time series during 2001 to 2008, is used, to show their co-movement. This co-movement is very important in economic policies.