An Analysis of Contagion in Emerging Currency Markets Using Multivariate Extreme Value Theory
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 dependence between pair currencies employing multivariate extreme value theory for the verification of results of our survey.
Volume (Year): 21 (2003)
Issue (Month): 2 (August)
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