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Markov Switching Garch Models of Currency Crises in Southeast Asia
Brunetti, Celso; Mariano, Roberto S.; Scotti, Chiara; … - Department of Economics, University of Pennsylvania - 2003
This paper develops a model which is able to forecast exchange rate turmoil. Our starting point relies on the empirical evidence that exchange rate volatility is not constant. In fact, the modeling strategy adopted refers to the vast literature of the GARCH class of models, where the variance...
Persistent link: https://www.econbiz.de/10005102110
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Exchange Rates, Currency Crises and Recessions - Introduction
Larraín, Felipe - In: Latin American Journal of Economics-formerly Cuadernos … 40 (2003) 121, pp. 633-634
Persistent link: https://www.econbiz.de/10005509988
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An Analysis of the Stock Market Volatility Spread in Emerging Countries
Akkaya, Murat - In: Istanbul Business Research (IBR) 50 (2021) 2, pp. 215-233
This article provides results on the volatility spread for stock markets in emerging economies. Empirical studies on determining or predicting volatility in national and international financial markets provide information for investors. The aim of this study is also to analyze volatility spreads...
Persistent link: https://www.econbiz.de/10012873462
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International stock market indices comovements : a new look
Madaleno, Mara; Pinho, Carlos - In: International journal of finance & economics : IJFE 17 (2012) 1, pp. 89-102
Persistent link: https://www.econbiz.de/10009507847
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A model-free test for contagion between crude oil and stock markets
Pan, Zhiyuan; Zheng, Xu; Gong, Yuting - In: Economics letters 130 (2015), pp. 1-4
Persistent link: https://www.econbiz.de/10011422065
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Dependence between stock markets of MENA countries after sub-prime crisis using bivariate extreme value theory
Ghorbel, Ahmed; Attafi, Zayneb - In: International journal of applied management science 6 (2014) 4, pp. 343-364
Persistent link: https://www.econbiz.de/10011346405
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Exchange rate contagion in Latin America
Loiza-Maya, Ruben; Gómez González, José Eduardo; … - In: Research in international business and finance 34 (2015), pp. 355-367
Persistent link: https://www.econbiz.de/10011326205
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Returns and volatility spillover in the European banking industry during global financial crisis : flight to perceived quality or contagion?
Choudhry, Taufiq; Jayasekera, Ranadeva - In: International review of financial analysis 36 (2014), pp. 36-45
Persistent link: https://www.econbiz.de/10010530222
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What is the impact of stock market contagion on an investor's portfolio choice?
Branger, Nicole; Kraft, Holger; Meinerding, Christoph - 2009
risk of crashes in other stocks (or indices). Our paper explicitly takes this contagion risk into account and studies its … investor significantly adjusts his portfolio when contagion is more likely to occur. Capturing the time dimension of contagion … portfolio decisions. Investors ignoring contagion completely or accounting for contagion while ignoring its time dimension …
Persistent link: https://www.econbiz.de/10009764762
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Economic integration and the exchange rate regime : how damaging are currency crises?
Weber, Axel A.; Beck, Günter W. - 2003 - This version: October 2003
We use consumer price data for 205 cities/regions in 21 countries to study PPP deviations before, during and after the major currency crises of the 1990s. We combine data from industrialized nations in North America (Unites States, Canada and Mexico), Europe (Germany, Italy, Spain and Portugal),...
Persistent link: https://www.econbiz.de/10009767677