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A model forecasting risk for emerging market currencies

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An analysis of contagion in emerging currency markets using multivariate extreme value theory

Fukuhara, Masahiro; Saruwatari, Yasufumi - 2002

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An analysis of contagion in emerging currency markets using multivariate extreme value theory

Fukuhara, Masahiro; Saruwatari, Yasufumi - In: Monetary and economic studies 21 (2003) 2, pp. 113-131

Persistent link: https://www.econbiz.de/10001781892

Quantification of sovereign risk: using the information in equity market prices

Oshiro, Naoto; Saruwatari, Yasufumi - In: Emerging markets review 6 (2005) 4, pp. 346-362

Persistent link: https://www.econbiz.de/10006012293

An analysis of contagion in emerging currency markets using multivariate extreme value theory

Fukuhara, Masahiro; Saruwatari, Yasufumi - In: Monetary and economic studies 21 (2003) 2, pp. 113-131

Persistent link: https://www.econbiz.de/10009935019

An Analysis of Contagion in Emerging Currency Markets Using Multivariate Extreme Value Theory

Fukuhara, Masahiro; Saruwatari, Yasufumi - In: Monetary and Economic Studies 21 (2003) 2, pp. 113-131

The objective of this paper is to analyze short-term contagion effects in emerging currency markets. The originality of our paper lies in our survey used to present the microstructure of emerging currency markets and our empirical approach to contagion analysis through an estimation of tail...

Persistent link: https://www.econbiz.de/10008472611

Quantification of sovereign risk: Using the information in equity market prices

Oshiro, Naoto; Saruwatari, Yasufumi - In: Emerging Markets Review 6 (2005) 4, pp. 346-362

Persistent link: https://www.econbiz.de/10005180213

A Model Forecasting Risk for Emerging Market Currencies

Fukuhara, Masahiro; Saruwatari, Yasufumi - In: Asia-Pacific Financial Markets 14 (2007) 4, pp. 325-340

Persistent link: https://www.econbiz.de/10005684907