An Analysis of Contagion in Emerging Currency Markets Using Multivariate Extreme Value Theory

The objective of this paper is to analyze short-term contagion effects in emerging currency markets. The originality of our paper lies in our survey used to present the microstructure of emerging currency markets and our empirical approach to contagion analysis through an estimation of tail dependence between pair currencies employing multivariate extreme value theory for the verification of results of our survey.

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Year of publication:	2003
Authors:	Fukuhara, Masahiro ; Saruwatari, Yasufumi
Published in:	Monetary and Economic Studies. - Institute for Monetary and Economic Studies. - Vol. 21.2003, 2, p. 113-131
Publisher:	Institute for Monetary and Economic Studies

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	O19 - International Linkages to Development; Role of International Organizations ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008472611