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Crash Risk in Currency Returns
Chernov, Mikhail - 2015
We quantify crash risk in currency returns. To accomplish this task, we develop and estimate an empirical model of exchange rate dynamics using daily data for four currencies relative to the US dollar: the Australian dollar, the British pound, the Swiss franc, and the Japanese yen. The model...
Persistent link: https://www.econbiz.de/10013037072
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Crash risk in currency returns
Chernov, Mikhail; Graveline, Jeremy; Zviadadze, Irina - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 1, pp. 137-170
Persistent link: https://www.econbiz.de/10011929414
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Currencies and crises
Krugman, Paul R. - 1992
Persistent link: https://www.econbiz.de/10000856324
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Devaluation expectations and speculative attacks on the currency
Willman, Alpo - 1987
Persistent link: https://www.econbiz.de/10000726163
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Anomalous speculative attacks on fixed exchange rate regimes : possible resolutions of the "gold standard paradox"
Buiter, Willem H.; Grilli, Vittorio U. - 1990 - Rev.
Persistent link: https://www.econbiz.de/10000803477
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The identification of destabilizing foreign exchange speculation
Kohlhagen, Steven W. - 1977
Persistent link: https://www.econbiz.de/10000780360
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Devaluation expectations and speculative attacks on the currency
Willman, Alpo - 1988
Persistent link: https://www.econbiz.de/10000755227
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The linkage between speculative attack and target zone models of exchange rates
Flood, Robert P.; Garber, Peter M. - 1989
Persistent link: https://www.econbiz.de/10000764950
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Policy implications of "second-generation" crisis models
Flood, Robert P.; Marion, Nancy P. - 1996
Persistent link: https://www.econbiz.de/10000625842
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Deviseneigenhandel der Geschäftsbanken, Devisenspekulation und nichtfundamentale Wechselkursbewegungen
Wolgast, Michael - 1997
Persistent link: https://www.econbiz.de/10000627328