1. What are the contributions in this paper?
The authors consider an extension of the theory of copulas to allow for conditioning variables, and employ it to construct flexible models of the conditional dependence structure of these exchange rates.
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2. What is the alternative to a parametric model?
A useful parametric alternative to copula-based multivariate models is a multivariate regime switching model; see Ang and Bekaert (2002) for example.
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3. What is the function equivalent of (3)?
The density function equivalent of (3) is useful for maximum likelihood estimation, and is easily obtained provided that FX|Y and FY|W are differentiable and FXY|W and C are twice differentiable.
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4. What is the conditional copula of (X, Y)?
The conditional copula of (X, Y) | W = w, where X | W = w ∼ F X|W(· | w) and Y | W = w ∼FY|W(· | w), is the conditional joint distribution function of U ≡ F X|W(X | w) and V ≡ FY|W(Y | w) given W = w.
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