Detecting exchange rate contagion in Asian exchange rate markets using asymmetric DDC-GARCH and R-vine copulas
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More about this item
Keywords
Exchange rate contagion; Asian financial crisis; Copula functions; DCC-GARCH models.;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2018-10-01 (Econometric Time Series)
- NEP-SEA-2018-10-01 (South East Asia)
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