Nothing Special   »   [go: up one dir, main page]
create a website
Identifying Extreme Values of Exchange Market Pressure. (2011). Voia, Marcel ; Karimi, Mohammad .
In: Carleton Economic Papers.
RePEc:car:carecp:11-10.

Full description at Econpapers || Download paper

Cited: 2

Citations received by this document

Cites: 41

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Currency Crises, Exchange Rate Regimes, and Capital Account Liberalization: A Duration Analysis Approach. (2011). Voia, Marcel ; Karimi, Mohammad .
    In: Carleton Economic Papers.
    RePEc:car:carecp:11-12.

    Full description at Econpapers || Download paper

  2. Empirics of Currency Crises: A Duration Analysis Approach. (2011). Voia, Marcel ; Karimi, Mohammad .
    In: Carleton Economic Papers.
    RePEc:car:carecp:11-11.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Abiad, A. (2003). Early-warning systems: A survey and a regime-switching approach. IMF Working Paper 03/32. Washington: International Monetary Fund.

  2. Andersen, T.G., Davis, R.R., Krei, J.-P., Mikosch, T. (2009). Handbook of Financial Time Series, Springer, Berlin.
    Paper not yet in RePEc: Add citation now
  3. Angkinand, A., Li, J., Willett, T.D. (2006). Measuring currency crises. Presented at the annual meetings of the Western Economic Association.
    Paper not yet in RePEc: Add citation now

  4. Aziz, J., Caramazza, F., Salgano, R. (2000). Currency crises: In search of common elements. IMF Working Paper 00/67. Washington: International Monetary Fund.

  5. Boothe, P.M., Glassman, D.A., (1987). The statistical distribution of exchange rates: Empirical evidence and economic implications. Journal of International Economics 22, 297â319.

  6. Caramazza, F., Ricci, L., Salgado, R. (2000). Trade and financial contagion in currency crises. Journal of International Money and Finance 23(1), 51-70.

  7. De Haan, L., Ferreira, A. (2006). Extreme Value Theory: An Introduction. Springer, New York.
    Paper not yet in RePEc: Add citation now
  8. Diebold, F., Schuermann, T., Stroughair, J., (1999), Pitfalls and opportunities in the use of extreme value theory and risk management, Mimeo, University of Pennsylvania.
    Paper not yet in RePEc: Add citation now

  9. Eichengreen, B., Rose, A., Wyplosz, C. (1996). Contagious currency crises: First tests. The Scandinavian Journal of Economics 98, 463â484.

  10. Eliasson, A.C., Kreuter, C. (2001). On currency crisis models: A continuous crisis definition. Deutsche Bank Research Quantitative Analysis unpublished working paper; available online at: http://www.economia.uniroma2.it/ceis/conferenze_convegni/banking2001/papers/mercoledi/EliassonKreuter. pdf Eichengreen, B., Rose, A., Wyplosz, C. (1995). Exchange market mayhem: The antecedents and aftermath of speculative attacks. Economic Policy 21 (21), 249â312.
    Paper not yet in RePEc: Add citation now
  11. Embrechts, P., Kluppelberg, C., Mikosch, T. (1997). Modelling Extremal Events for Insurance and Finance. Springer, Berlin.
    Paper not yet in RePEc: Add citation now
  12. Enders, W. (2004). Applied Econometric Time Series. Hoboken, NJ: Wiley.
    Paper not yet in RePEc: Add citation now

  13. Flood, R.P., Marion, N.P. (1999). Perspectives on the recent currency crisis literature. International Journal of Finance and Economics 4(1), 1-26.

  14. Frankel J.A., Rose A.K. (1996). Currency crashes in emerging markets: an empirical treatment. Journal of International Economics 41(3â4), 351â366.

  15. Girton, L., Roper, D. (1977). A monetary model of exchange market pressure applied to postwar Canadian experience. American Economic Review 67, 537-548.

  16. Glick, R., Hutchison, M. (2001). Capital controls and exchange rate stability in developing countries. Economic Letter 21.

  17. Haile, F.D., Pozo, S. (2006). Exchange rate regimes and currency crises: an evaluation using extreme value theory. Review of International Economics 14(4), 554-570.

  18. Haile, F.D., Pozo, S. (2008). Currency crisis contagion and the identification of transmission channels. International Review of Economics and Finance 17, 572-588.

  19. Hill, B.M. (1975). A simple general approach to inference about the tail of a distribution. Annals of Statistics 3(5), 1163â1174.
    Paper not yet in RePEc: Add citation now

  20. Hols, M.C.A.B., de Vries, C.G. (1991). The limiting distribution of extremal exchange rate returns. Journal of Applied Econometrics 6, 287â302.

  21. Huisman, R., Koedijk, K.G., Kool, C.J.M., Palm, F. (2001). Tail-index estimates in small samples. Journal of Business and Economic Statistics 19(1), 208â216.

  22. International Monetary Fund, International Financial Statistics: http://www.imfstatistics.org/imf/ Jansen, D.W., De Vries, C. G. (1991). On the frequency of large stock returns: Putting booms and busts into perspective. The Review of Economics and Statistics 73, 18â24.

  23. Kamin, S.B., Schindler, J.W., Samuel, L.S. (2001). The contribution of domestic and external factors to emerging market devaluation crises: An early warning system approach. Board of Governors of the Federal Reserve System. International Finance Discussion Papers 711.
    Paper not yet in RePEc: Add citation now

  24. Kaminsky, G., Lizonado, S., Reinhart, C.M. (1998). Leading indicators of currency crises. International Monetary Fund Staff Papers 45, 1â48.

  25. Kaminsky, G., Reinhart, C.M. (1998). Financial crises in Asia and Latin America: Then and now. American Economic Review 88, 444â448.

  26. Koedijk, K.G., Schafgans, M.M.A., de Vries, C.G. (1990). The tail index of exchange returns. Journal of International Economics 29, 93â108.
    Paper not yet in RePEc: Add citation now

  27. Koedijk, K.G., Stork, P.A., de Vries, C.G. (1992). Differences between foreign exchange rate regimes: The view from the tails. Journal of International Money and Finance 11, 462â473.

  28. Krugman, P. (1979). A Model of Balance of Payments Crises. Journal of Money, Credit and Banking 11, 311-325.

  29. Lee, J., Strazicich, M. (2003). Minimum LM unit root test with two structural breaks. Review of Economics and Statistics 85, 1082-1089.

  30. Lee, J., Strazicich, M. (2004). Minimum LM unit root test with one structural break. Working Paper, Department of Economics Applachian State University.

  31. Lestano, J., Jan, P.A.M. (2007). Dating currency crises with ad hoc and extreme value-based thresholds: East Asia 1970-2002. International Journal of Finance and Economics 12, 371-388.

  32. Longin, F., Solnik, B. (2001). Extreme correlation of international equity markets. Journal of Finance 56(2), 649â676.

  33. Martinez-Peria, M. S. (2002). A regime switching approach to studying speculative attacks: A focus on European Monetary System crises. Empirical Economics 27, 299-334.
    Paper not yet in RePEc: Add citation now

  34. Pontines, V., Siregar, R. (2008). Fundamental pitfalls of exchange market pressure-based approaches to identification of currency crises. International Review of Economics and Finance 17(3), 345-365.

  35. Powell, J. (2005). A History of the Canadian Dollar. Bank of Canada, Ottawa. (http://www.bank-banquecanada. ca/en/dollar_book/) Sachs, J.D., Tornel, A., Velasco, A. (1996). Financial crises in emerging markets: The lessons from 1995, Brooking Papers on Economic Activity 1, 147-215.

  36. Pozo, S., Amuedo-Dorantes, C. (2003). Statistical distributions and the identification of currency crises. Journal of International Money and Finance 22(4), 591â609.

  37. Tudela, M. (2003). Explaining Currency Crises: a duration model approach, Journal of International Money and Finance 23, 799-816.

  38. Wagner, N., Marsh, T. A. (2000). On adaptive tail index estimation for financial return models. Research program in finance working paper RPF-295 U.C. Berkeley: Haas School of Business.

  39. Wagner, N., Marsh, T. A. (2005). Measuring tail thickness under GARCH and an application to extreme exchange rate changes. Journal of Empirical Finance 12, 165-185.

  40. Willett, T., Nitithanprapas, E., Nitithanprapas, I., Rongala, R. (2004). The Asian crises reexamined. Asian Economic Papers 3, 32-87.

  41. Zhang, Z. (2001). Speculative attacks in the Asian crisis. IMF Working Paper 01/189. Washington: International Monetary Fund.

Cocites

Documents in RePEc which have cited the same bibliography

  1. The market rank indicator to detect financial distress. (2020). Uberti, Pierpaolo ; Maggi, Mario ; Figini, Silvia.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:14:y:2020:i:c:p:63-73.

    Full description at Econpapers || Download paper

  2. Wskaźniki wczesnego ostrzegania przed niestabilnością finansową polskiego sektora bankowego. (2019). upiski, Marcin .
    In: Collegium of Economic Analysis Annals.
    RePEc:sgh:annals:i:55:y:2019:p:99-113.

    Full description at Econpapers || Download paper

  3. Leading Indicators and Financial Crisis: A Multi-Sectoral Approach Using Signal Extraction. (2018). Bosupeng, Mpho.
    In: Journal of Empirical Studies.
    RePEc:pkp:joestu:2018:p:20-44.

    Full description at Econpapers || Download paper

  4. When Do We Repair the Roof? Insights from Responses to Fiscal Crisis Early Warning Signals. (2018). Tapsoba, René ; Issifou, Ismael ; Honda, Jiro.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2018/077.

    Full description at Econpapers || Download paper

  5. Early Detection of Indonesia’s Vulnerability to Currency Crisis. (2018). Oyong, Rosa Agustina ; Warjiyo, Perry ; Safuan, Sugiharso ; Didong, Rustam.
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2018-01-26.

    Full description at Econpapers || Download paper

  6. The appropriateness of the macroeconomic imbalance procedure for Central and Eastern European countries. (2017). Knedlik, Tobias ; Kampfe, Martina.
    In: IWH Discussion Papers.
    RePEc:zbw:iwhdps:162017.

    Full description at Econpapers || Download paper

  7. Capital market liberalization: Optimal tradeoff and bargaining delay. (2017). Song, Huasheng ; Dong, Baomin ; Gu, Xinhua.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:39:y:2017:i:c:p:78-88.

    Full description at Econpapers || Download paper

  8. Malaysian Financial Stress Index and Assessing its Impacts on the Economy. (2017). Abdullah, Hussin ; Mohan, MD ; Umar, Mohammed ; Hwei, Khaw Lee ; Dahalan, Jauhari .
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2017-02-31.

    Full description at Econpapers || Download paper

  9. Early Warning Systems with Real-Time Data. (2017). Kuper, Gerard ; Jacobs, Jan ; Boonman, Tjeerd ; Alberto, Romero ; Gerard, Kuper ; Tjeerd, Boonman.
    In: Working Papers.
    RePEc:bdm:wpaper:2017-16.

    Full description at Econpapers || Download paper

  10. Developing an Early Warning System for Financial Crises in Vietnam. (2017). Nguyen, Tristan ; Duy, Nguyen Ngoc .
    In: Asian Economic and Financial Review.
    RePEc:asi:aeafrj:2017:p:413-430.

    Full description at Econpapers || Download paper

  11. A Comparison of Currency Crisis Dating Methods: Turkey 1990-2014. (2016). ARI, Ali ; Cergibozan, Raif.
    In: Montenegrin Journal of Economics.
    RePEc:mje:mjejnl:v:12:y:2016:i:3:p:19-37.

    Full description at Econpapers || Download paper

  12. An Early Warning System for Turkey: The Forecasting Of Economic Crisis by Using the Artificial Neural Networks. (2014). Sekmen, Fuat ; KURKCU, Murat .
    In: Asian Economic and Financial Review.
    RePEc:asi:aeafrj:2014:p:529-543.

    Full description at Econpapers || Download paper

  13. Does Financial Connectedness Predict Crises?. (2013). Berea, Anamaria ; Subrahmanian, V S ; Kang, Chanhyun ; Minoiu, Camelia.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2013/267.

    Full description at Econpapers || Download paper

  14. External Liabilities and Crises. (2013). Catão, Luis ; Milesi-Ferretti, Gian M ; Cato, Luis.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2013/113.

    Full description at Econpapers || Download paper

  15. Predicting Financial Crises: The (Statistical) Significance of the Signals Approach. (2012). von Schweinitz, Gregor ; Knedlik, Tobias ; El-Shagi, Makram.
    In: IWH Discussion Papers.
    RePEc:zbw:iwhdps:iwh-3-12.

    Full description at Econpapers || Download paper

  16. Did Established Early Warning Signals Predict the 2008 Crises?*. (2012). Papageorgiou, Chris ; Eicher, Theo ; Christofides, Charis .
    In: Working Papers.
    RePEc:udb:wpaper:uwec-2012-05.

    Full description at Econpapers || Download paper

  17. Testing for “Contagion” of the Subprime Crisis on the Middle East And North African Stock Markets: A Markov Switching EGARCH Approach. (2011). Khallouli, Wajih ; Sandretto, Rene .
    In: Working Papers.
    RePEc:erg:wpaper:609.

    Full description at Econpapers || Download paper

  18. Can Leading Indicators Assess Country Vulnerability? Evidence from the 2008-09 Global Financial Crisis. (2011). Frankel, Jeffrey ; Saravelos, George .
    In: Working Paper Series.
    RePEc:ecl:harjfk:rwp11-024.

    Full description at Econpapers || Download paper

  19. Why didnt the Global Financial Crisis hit Latin America?. (2011). Kuper, Gerard ; Jacobs, Jan ; Boonman, Tjeerd ; Jan P. A. M. Jacobs, .
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2011s-63.

    Full description at Econpapers || Download paper

  20. A study on KLR financial crisis early-warning model. (2010). Gao, YU ; Shi, Jianping.
    In: Frontiers of Economics in China.
    RePEc:spr:frecch:v:5:y:2010:i:2:p:254-275.

    Full description at Econpapers || Download paper

  21. Financial Crises’ Prevention and Recovery. (2010). NABI, Mahmoud ; Khallouli, Wajih.
    In: Working Papers.
    RePEc:erg:wpaper:529.

    Full description at Econpapers || Download paper

  22. A tail index tour across foreign exchange rate regimes in Turkey. (2009). Payaslıoğlu, Cem ; Payaslioglu, Cem .
    In: Applied Economics.
    RePEc:taf:applec:v:41:y:2009:i:3:p:381-397.

    Full description at Econpapers || Download paper

  23. An Econometric Analysis of Some Models for Constructed Binary Time Series. (2009). pagan, adrian ; Harding, Don.
    In: NCER Working Paper Series.
    RePEc:qut:auncer:2009_39.

    Full description at Econpapers || Download paper

  24. An Early Warning Signals Approach for Currency Crises: The Turkish Case. (2009). ARI, Ali.
    In: MPRA Paper.
    RePEc:pra:mprapa:25858.

    Full description at Econpapers || Download paper

  25. Choosing and assessing exchange rate regimes: A survey of the literature. (2009). Cruz-Rodriguez, Alexis.
    In: MPRA Paper.
    RePEc:pra:mprapa:16314.

    Full description at Econpapers || Download paper

  26. Econometric Approach to Early Warnings of Vulnerability in the Banking System and Currency Markets for Hong Kong and Other EMEAP Economies. (2009). Ho, Alex ; Yiu, Matthew S. ; MatthewS. Yiu, ; Jin, LU.
    In: Working Papers.
    RePEc:hkg:wpaper:0908.

    Full description at Econpapers || Download paper

  27. A forewarning indicator system for financial crises: the case of six Central and Eastern European countries. (2009). ZDZIENICKA, Aleksandra ; Dufrénot, Gilles ; Sand-Zantman, Alain ; Andreou, Irene ; Dufrenot, Gilles ; Zdzienicka-Durand, Aleksandra .
    In: Post-Print.
    RePEc:hal:journl:halshs-00372728.

    Full description at Econpapers || Download paper

  28. Findings of the Signal Approach for Financial Monitoring in Kazakhstan. (2009). Nierhaus, Wolfgang ; Abberger, Klaus ; Shaikh, Shynar .
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2774.

    Full description at Econpapers || Download paper

  29. On the determinants of currency crises: The role of model uncertainty. (2008). Slacik, Tomas ; Crespo Cuaresma, Jesus.
    In: Working Papers.
    RePEc:inn:wpaper:2008-03.

    Full description at Econpapers || Download paper

  30. The Nonlinear Dynamics of Foreign Reserves and Currency Crises. (2008). Hinich, Melvin ; HE, QING ; CHONG, Terence Tai Leung ; Terence T. L. Chong, ; Terence T. L. Chong, .
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:12:y:2008:i:4:n:2.

    Full description at Econpapers || Download paper

  31. FORECASTING CURRENCY CRISES: WHICH METHODS SIGNALED THE SOUTH AFRICAN CRISIS OF JUNE 2006?. (2008). Scheufele, Rolf ; Knedlik, Tobias.
    In: South African Journal of Economics.
    RePEc:bla:sajeco:v:76:y:2008:i:3:p:367-383.

    Full description at Econpapers || Download paper

  32. Desalineamiento de la Tasa de Cambio, Destorcidas de Cuenta Corriente y Ataques Especulativos en Colombia. (2008). Misas, Martha ; López, Enrique ; Echavarría, Juan ; Enciso, Enrique Lopez ; Arango, Martha Misas ; Echavarria, Juan Jose.
    In: Borradores de Economia.
    RePEc:bdr:borrec:500.

    Full description at Econpapers || Download paper

  33. Three methods of forecasting currency crises: Which made the run in signaling the South African currency crisis of June 2006?. (2007). Scheufele, Rolf ; Knedlik, Tobias.
    In: IWH Discussion Papers.
    RePEc:zbw:iwhdps:iwh-17-07.

    Full description at Econpapers || Download paper

  34. A FOREWARNING INDICATOR SYSTEM FOR FINANCIAL CRISES : THE CASE OF SIX CENTRAL AND EASTERN EUROPEAN COUNTRIES. (2007). ZDZIENICKA, Aleksandra ; Dufrénot, Gilles ; Sand-Zantman, Alain ; Andreou, Irene ; Dufrenot, Gilles ; Zdzienicka-Durand, Aleksandra .
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2008-901.

    Full description at Econpapers || Download paper

  35. Business Confidence and Cyclical Turning Points: A Markov-Switching Approach. (2007). Silverstone, Brian ; Holmes, Mark.
    In: Working Papers in Economics.
    RePEc:wai:econwp:07/19.

    Full description at Econpapers || Download paper

  36. IMF Drawing Programs; Participation Determinants and Forecasting. (2007). Cerutti, Eugenio.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2007/152.

    Full description at Econpapers || Download paper

  37. Dating currency crises with ad hoc and extreme value-based thresholds: East Asia 1970-2002 [Dating currency crises]. (2007). Lestano, Lestano ; Jacobs, Jan.
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:12:y:2007:i:4:p:371-388.

    Full description at Econpapers || Download paper

  38. A forewarning indicator system for financial crises: the case of six Central and Eastern European countries. (2007). ZDZIENICKA, Aleksandra ; Dufrénot, Gilles ; Sand-Zantman, Alain ; Andreou, Irene ; Zdzienicka-Durand, Aleksandra .
    In: Post-Print.
    RePEc:hal:journl:halshs-00142433.

    Full description at Econpapers || Download paper

  39. A forewarning indicator system for financial crises: the case of six Central and Eastern European countries. (2007). ZDZIENICKA, Aleksandra ; Dufrénot, Gilles ; Sand, Alain ; Andreou, Irene ; Dufrenot, Gilles ; Zdzienicka-Durand, Aleksandra .
    In: Working Papers.
    RePEc:gat:wpaper:0709.

    Full description at Econpapers || Download paper

  40. Monitoring Financial Stability In Developing Economies (Case of Russia). (2007). Trunin, Pavel ; Kamenskih, M.
    In: Research Paper Series.
    RePEc:gai:rpaper:97.

    Full description at Econpapers || Download paper

  41. A forewarning indicator system for financial crises: the case of six central and eastern european countries. (2007). ZDZIENICKA, Aleksandra ; Dufrénot, Gilles ; Sand-Zantman, Alain ; Andreou, Irene ; Dufrenot, Gilles ; Zdzienicka-Durand, Aleksandra .
    In: Documents de Travail de l'OFCE.
    RePEc:fce:doctra:0727.

    Full description at Econpapers || Download paper

  42. A Cardans discriminant approach to predicting currency crashes. (2007). Chan, Fabrice ; Fong, Wai Mun ; Koh, Seng Kee.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:26:y:2007:i:1:p:131-148.

    Full description at Econpapers || Download paper

  43. From transition crises to macroeconomic stability? Lessons from a crises early warning system for Eastern European and CIS countries. (2006). Vinhas de Souza, Lucio ; Schweickert, Rainer ; Tirpak, Marcel ; Kittelmann, Kristina .
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1269.

    Full description at Econpapers || Download paper

  44. IDENTIFYING AND DATING THE EPISODES OF SPECULATIVE PRESSURES AGAINST THE SINGAPORE DOLLAR. (2006). Siregar, Reza ; Pontines, Victor.
    In: The Singapore Economic Review (SER).
    RePEc:wsi:serxxx:v:51:y:2006:i:02:n:s0217590806002366.

    Full description at Econpapers || Download paper

  45. The Econometric Analysis of Constructed Binary Time Series. Working paper #1. (2006). pagan, adrian ; Harding, Don.
    In: NCER Working Paper Series.
    RePEc:qut:auncer:2006-1.

    Full description at Econpapers || Download paper

  46. Economic growth and currency crisis: A real exchange rate entropic approach. (2006). Gómez, David ; Ortega, Guillermo J..
    In: MPRA Paper.
    RePEc:pra:mprapa:211.

    Full description at Econpapers || Download paper

  47. Predicting Sovereign Debt Crises Using Artificial Neural Networks: A Comparative Approach. (2006). Fioramanti, Marco.
    In: ISAE Working Papers.
    RePEc:isa:wpaper:72.

    Full description at Econpapers || Download paper

  48. Assessing Early Warning Systems; How Have they Worked in Practice?. (2004). Pattillo, Catherine A ; Borensztein, Eduardo ; Berg, Andrew.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2004/052.

    Full description at Econpapers || Download paper

  49. Autocorrelation-Corrected Standard Errors in Panel Probits; An Application to Currency Crisis Prediction. (2004). Coke, Rebecca N ; Berg, Andrew.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2004/039.

    Full description at Econpapers || Download paper

  50. ¿Qué Sabemos Realmente sobre las Crisis Cambiarias?. (2003). Esquivel, Gerardo ; Larrain, Felipe.
    In: Latin American Journal of Economics-formerly Cuadernos de Economía.
    RePEc:ioe:cuadec:v:40:y:2003:i:121:p:656-667.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-19 00:37:05 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.