The Asia Financial Crises and Exchange Rates
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KeywordsMarkov switching GARCH models; Asian currency crisis 1997; volatility breaks; Bayesian MCMC; model choice;
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-09-18 (All new papers)
- NEP-IFN-2010-09-18 (International Finance)
- NEP-MON-2010-09-18 (Monetary Economics)
- NEP-SEA-2010-09-18 (South East Asia)
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