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ArticleExchange rate contagion in Latin America

Rubén Loaiza‐Maya2015

Article2015

Exchange rate contagion in Latin America

Rubén Loaiza‐Maya · José Eduardo Gómez-González · Luis Fernando Melo‐Velandia

35 citations·0/0 files stored·Research in International Business and Finance

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Financial Risk and Volatility Modeling Global Financial Crisis and Policies Market Dynamics and Volatility

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References

1999An Introduction to Copulas 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 1983Empirical exchange rate models of the seventies 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2007Pair-copula constructions of multiple dependence 1996Families of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters 2012Selecting and estimating regular vine copulae and application to financial returns 2006Uncertainty Analysis with High Dimensional Dependence Modelling

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2022Dependence structure across equity sectors: Evidence from vine copulas 2022Following the leaders? A study of co-movement and volatility spillover in BRICS currencies 2019Detecting contagion in Asian exchange rate markets using asymmetric DCC-GARCH and R-vine copulas

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2014LATIN AMERICAN EXCHANGE RATE DEPENDENCIES: A REGULAR VINE COPULA APPROACHarticle · 10 shared references 2016Extreme risk modeling: An EVT–pair-copulas approach for financial stress testsarticle · 7 shared references 2019Detecting contagion in Asian exchange rate markets using asymmetric DCC-GARCH and R-vine copulasarticle · 7 shared references 2013Copula Modelling of Dependence in Multivariate Time Seriesarticle · 6 shared references 2021Re-examination of international bond market dependence: Evidence from a pair copula approacharticle · 6 shared references 2013Flexible dependence modeling of operational risk losses and its impact on total capital requirementsarticle · 6 shared references

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Year2015

Typearticle

Published2015-03-03

VenueResearch in International Business and Finance

ISSN-L0275-5319

Languageen

Citations35

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ribaf.2015.02.019

openalex_workW1977608809

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