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Index maintained by the Cologne Institute for Economic Research (IW Köln) captures the phenomenon in six different …
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different markets. They are: the Hong Kong Hang Seng index 1997 crash, the S&P 500 index 1987 crash (black Monday) and the … Shanghai Composite index 2009 crash. All results suggest that the new models perform very well in describing bubbles …
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terms of foreign exchange market dynamics. An implementable financial stress index (FSI) is created and then used to … currencies) and we show that such an index has potential value in protecting a portfolio against loss during periods of stress …
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