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

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Cited by:

  1. Cem PAYASLIOGLU, 2001. "A Tail Index Tour across Foreign Exchange Regimes in Turkey," Middle East and North Africa 330400049, EcoMod.
  2. repec:dgr:rugccs:200412 is not listed on IDEAS
  3. Kai-Li Wang & Christopher Fawson & Christopher B. Barrett & James B. McDonald, 2001. "A flexible parametric GARCH model with an application to exchange rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(4), pages 521-536.
  4. Phornchanok Cumperayot Kouwenberg, 2015. "Stability of Thai Baht: Tales from the Tails," PIER Discussion Papers 1, Puey Ungphakorn Institute for Economic Research.
  5. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
  6. Chen, Zhimin & Ibragimov, Rustam, 2019. "One country, two systems? The heavy-tailedness of Chinese A- and H- share markets," Emerging Markets Review, Elsevier, vol. 38(C), pages 115-141.
  7. Segnon, Mawuli & Lux, Thomas, 2013. "Multifractal models in finance: Their origin, properties, and applications," Kiel Working Papers 1860, Kiel Institute for the World Economy (IfW Kiel).
  8. Ibragimov Marat & Khamidov Rufat, 2010. "Heavy-Tailedness and Volatility in Emerging Foreign Exchange Markets: Theory and Empirics," EERC Working Paper Series 10/06e, EERC Research Network, Russia and CIS.
  9. Fendel, Ralf & Neumann, Christian, 2021. "Tail risk in the European sovereign bond market during the financial crises: Detecting the influence of the European Central Bank," Global Finance Journal, Elsevier, vol. 50(C).
  10. Victor Pontines, 2010. "Fat-tails and house prices in OECD countries," Applied Economics Letters, Taylor & Francis Journals, vol. 17(14), pages 1373-1377.
  11. Paul De Grauwe & Marianna Grimaldi, 2014. "Heterogeneity of Agents, Transactions Costs and the Exchange Rate," World Scientific Book Chapters, in: Exchange Rates and Global Financial Policies, chapter 2, pages 33-70, World Scientific Publishing Co. Pte. Ltd..
  12. Broussard, John Paul & Booth, G. Geoffrey, 1998. "The behavior of extreme values in Germany's stock index futures: An application to intradaily margin setting," European Journal of Operational Research, Elsevier, vol. 104(3), pages 393-402, February.
  13. 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 2005-04, University of Adelaide, Centre for International Economic Studies.
  14. Cumperayot, Phornchanok & Kouwenberg, Roy, 2013. "Early warning systems for currency crises: A multivariate extreme value approach," Journal of International Money and Finance, Elsevier, vol. 36(C), pages 151-171.
  15. Engel, Charles & Hakkio, Craig S, 1996. "The Distribution of Exchange Rates in the EMS," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 1(1), pages 55-67, January.
  16. John Cotter, 2005. "Tail behaviour of the euro," Applied Economics, Taylor & Francis Journals, vol. 37(7), pages 827-840.
  17. Kyritsis, Evangelos & Serletis, Apostolos, 2018. "The zero lower bound and market spillovers: Evidence from the G7 and Norway," Research in International Business and Finance, Elsevier, vol. 44(C), pages 100-123.
  18. Mohammad Karimi & Marcel Voia, 2015. "Identifying extreme values of exchange market pressure," Empirical Economics, Springer, vol. 48(3), pages 1055-1078, May.
  19. 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, vol. 45(2), pages 351-368, August.
  20. João Nicolau & Paulo M. M. Rodrigues, 2019. "A New Regression-Based Tail Index Estimator," The Review of Economics and Statistics, MIT Press, vol. 101(4), pages 667-680, October.
  21. Gu, Zhiye & Ibragimov, Rustam, 2018. "The “Cubic Law of the Stock Returns” in emerging markets," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 182-190.
  22. Lestano & Jacobs, Jan P.A.M., 2004. "A comparison of currency crisis dating methods: East Asia 1970-2002," CCSO Working Papers 200412, University of Groningen, CCSO Centre for Economic Research.
  23. Pozo, Susan & Amuedo-Dorantes, Catalina, 2003. "Statistical distributions and the identification of currency crises," Journal of International Money and Finance, Elsevier, vol. 22(4), pages 591-609, August.
  24. Phornchanok Cumperayot & Casper G. de Vries, 2006. "Large Swings in Currencies driven by Fundamentals," Tinbergen Institute Discussion Papers 06-086/2, Tinbergen Institute.
  25. Lera, Sandro Claudio & Sornette, Didier, 2016. "Quantitative modelling of the EUR/CHF exchange rate during the target zone regime of September 2011 to January 2015," Journal of International Money and Finance, Elsevier, vol. 63(C), pages 28-47.
  26. Andrea Pescatori & Amadou N R Sy, 2007. "Are Debt Crises Adequately Defined?," IMF Staff Papers, Palgrave Macmillan, vol. 54(2), pages 306-337, June.
  27. Paulo M.M. Rodrigues & João Nicolau, 2015. "A New Regression-Based Tail Index Estimator: An Application to Exchange Rates," Working Papers w201514, Banco de Portugal, Economics and Research Department.
  28. Phornchanok Cumperayot, 2015. "Stability of Thai Baht: Tales from the Tails," PIER Discussion Papers 1., Puey Ungphakorn Institute for Economic Research, revised Sep 2015.
  29. Haile, Fasika & Pozo, Susan, 2008. "Currency crisis contagion and the identification of transmission channels," International Review of Economics & Finance, Elsevier, vol. 17(4), pages 572-588, October.
  30. 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, vol. 19(2), pages 214-235, March.
  31. Reza Siregar & Victor Pontines, 2004. "Successful and Unsuccessful Attacks: Evaluating the Stability of the East Asian Currencies," Centre for International Economic Studies Working Papers 2004-04, University of Adelaide, Centre for International Economic Studies.
  32. De Grauwe, Paul & Rovira Kaltwasser, Pablo, 2012. "Animal spirits in the foreign exchange market," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1176-1192.
  33. Ibragimov, Marat & Ibragimov, Rustam & Kattuman, Paul, 2013. "Emerging markets and heavy tails," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2546-2559.
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