MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*
检验了德国马克与日元汇率之间的不对称依赖性，发现两者对美元贬值时的相关性高于升值时。
We test for asymmetry in a model of the dependence between the Deutsche mark and the yen, in the sense that a different degree of correlation is exhibited during joint appreciations against the U.S. dollar versus during joint depreciations. We 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. We find evidence that the mark–dollar and yen–dollar exchange rates are more correlated when they are depreciating against the dollar than when they are appreciating.