dynamics has changed at least once. -- Markov switching GARCH models ; Asian currency crisis 1997 ; volatility breaks …We analyse the volatility structure of Asian currencies against the U.S. dollar (USD) for the Thai Baht THB, the … volatility dynamics have changed in a K-state switching AR(1)-GARCH(1,1) model in the last decade 1995-2008 covering the Asian …

This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss … franc and the Japanese yen vis-à-vis the US dollar before and after the introduction of the euro. Based on dynamic … with extreme economic episodes and, to a lower extend, with appreciations of the US dollar. Moreover, the euro (Deutsche …

Currency portfolios exhibit asymmetric correlations: during periods of bear, volatile world equity markets, currency … currency characteristics. This paper also illustrates how the presence of regime shifts in financial markets affects optimal … portfolio choice across currency portfolios: during bear markets, investors are better off by unwinding carry trade positions …