Hartmann, Philipp; Straetmans, Stefan; Vries, Casper de - 2004
or weak, in the sense that the dependence remains or vanishes asymptotically. We show that if one currency return reaches … crisis levels, the probability that the other currency breaks down as well vanishes asymptotically if the fundamentals … probability that the other currency breaks down as well remains strictly positive even in the limit. This result implies that …
