"Using an early warning system (EWS) model, this paper provides more empirical evidence on the causes of the 1997 Asian financial crisis, with a view to discriminating between the two hypotheses of "weak fundamentals" and "investors' panic." The results show that there are strong warning signals...

We analyse the volatility structure of Asian currencies against the U.S. dollar (USD) for the Thai Baht THB, the Philippine Peso PHP, the Indonesian Rupiah IDR and the South Korean Won KRW. Our goal is to check if the characteristics of the volatility dynamics have changed in a K-state switching...

This paper uses a stationary multivariate asymmetric GARCH specification of the international capital asset pricing model to investigate contagion effects across six developed and emerging East Asian markets as well as the US and the World markets around the time of the Asian currency crisis of...