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Differences between foreign exchange rate regimes: The view from the tails

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  • Koedijk, C.G.

    (Tilburg University)

  • Stork, P.A.
  • Vries, C.G. de

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Bibliographic Info

Paper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-3108712.

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Date of creation: 1992
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Publication status: Published in Journal of International Money and Finance (1992) v.11, p.462-473
Handle: RePEc:ner:tilbur:urn:nbn:nl:ui:12-3108712

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Web page: http://www.tilburguniversity.edu/

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Cited by:
  1. John Cotter, 2005. "Tail behaviour of the euro," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 37(7), pages 827-840.
  2. Reza Siregar & Victor Pontines, 2005. "Incidences of Speculative Attacks on Rupiah During The Pre- and Post-1997 Financial Crisis," Centre for International Economic Studies Working Papers, University of Adelaide, Centre for International Economic Studies 2005-04, University of Adelaide, Centre for International Economic Studies.
  3. Charles Engel & Craig S. Hakkio, 1994. "The distribution of exchange rates in the EMS," Research Working Paper, Federal Reserve Bank of Kansas City 94-03, Federal Reserve Bank of Kansas City.
  4. Wang, Kai-Li & Fawson, Christopher B. & Barrett, Christopher B. & McDonald, James B., 1998. "A Flexible Parametric Garch Model With An Application To Exchange Rates," Economics Research Institute, ERI Study Papers, Utah State University, Economics Department 28355, Utah State University, Economics Department.
  5. Haile, Fasika & Pozo, Susan, 2008. "Currency crisis contagion and the identification of transmission channels," International Review of Economics & Finance, Elsevier, Elsevier, vol. 17(4), pages 572-588, October.
  6. Andrea Pescatori & Amadou N R Sy, 2007. "Are Debt Crises Adequately Defined?," IMF Staff Papers, Palgrave Macmillan, vol. 54(2), pages 306-337, June.
  7. Ibragimov, Marat & Ibragimov, Rustam & Kattuman, Paul, 2013. "Emerging markets and heavy tails," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(7), pages 2546-2559.
  8. Cumperayot, Phornchanok & Kouwenberg, Roy, 2013. "Early warning systems for currency crises: A multivariate extreme value approach," Journal of International Money and Finance, Elsevier, Elsevier, vol. 36(C), pages 151-171.
  9. Phornchanok Cumperayot & Casper G. de Vries, 2006. "Large Swings in Currencies driven by Fundamentals," Tinbergen Institute Discussion Papers, Tinbergen Institute 06-086/2, Tinbergen Institute.
  10. Lim, G. C. & Lye, J. N. & Martin, G. M. & Martin*, V. L., 1998. "The distribution of exchange rate returns and the pricing of currency options," Journal of International Economics, Elsevier, Elsevier, vol. 45(2), pages 351-368, August.
  11. Pontines, Victor & Siregar, Reza, 2007. "The Yen, the US dollar, and the trade weighted basket of currencies: Does the choice of anchor currencies matter in identifying incidences of speculative attacks?," Japan and the World Economy, Elsevier, Elsevier, vol. 19(2), pages 214-235, March.
  12. De Grauwe, Paul & Rovira Kaltwasser, Pablo, 2012. "Animal spirits in the foreign exchange market," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 36(8), pages 1176-1192.
  13. De Grauwe, Paul & Grimaldi, Marianna, 2005. "Heterogeneity of agents, transactions costs and the exchange rate," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 29(4), pages 691-719, April.
  14. Pozo, Susan & Amuedo-Dorantes, Catalina, 2003. "Statistical distributions and the identification of currency crises," Journal of International Money and Finance, Elsevier, Elsevier, vol. 22(4), pages 591-609, August.
  15. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area 99, Bank of Italy, Economic Research and International Relations Area.
  16. Mohammad Karimi & Marcel-Cristian Voia, 2011. "Identifying Extreme Values of Exchange Market Pressure," Carleton Economic Papers, Carleton University, Department of Economics 11-10, Carleton University, Department of Economics.
  17. Reza Siregar & Victor Pontines, 2004. "Successful and Unsuccessful Attacks: Evaluating the Stability of the East Asian Currencies," Centre for International Economic Studies Working Papers, University of Adelaide, Centre for International Economic Studies 2004-04, University of Adelaide, Centre for International Economic Studies.

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