Evaluating currency crisis:A multivariate Markov switching approach
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Cited by:
- Lopes, José Mário & Nunes, Luis C., 2012. "A Markov regime switching model of crises and contagion: The case of the Iberian countries in the EMS," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 1141-1153.
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More about this item
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
- F31 - International Economics - - International Finance - - - Foreign Exchange
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FOR-2010-10-16 (Forecasting)
- NEP-MON-2010-10-16 (Monetary Economics)
- NEP-ORE-2010-10-16 (Operations Research)
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