SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Exchange rate contagion in Latin America
16 references·8 citing·33 second hop
Exchange rate contagion in Latin America (2015)Exchange rate contagion in Latin AmericaA Concise History of Exchange Rate Regimes in Latin America (2021)A Concise History of Exchange…Selecting and estimating regular vine copulae and application to financial returns (2012)Selecting and estimating regu…Fear of appreciation (2012)Fear of appreciationTesting for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets (2009)Testing for intraday interdep…Spatial contagion between financial markets: a copula‐based approach (2009)Spatial contagion between fin…A cospectral analysis of exchange rate comovements during Asian financial crisis (2009)A cospectral analysis of exch…Strong Comovements of Exchange Rates: Theoretical and Empirical Cases when Currencies Become the Same Asset (2008)Strong Comovements of Exchang…Inflation targeting, reserves accumulation, and exchange rate management in Latin America (2008)Inflation targeting, reserves…Uncertainty Analysis With High Dimensional Dependence Modelling (2007)Uncertainty Analysis With Hig…Pair-copula constructions of multiple dependence (2007)Pair-copula constructions of …Uncertainty Analysis with High Dimensional Dependence Modelling (2006)Uncertainty Analysis with Hig…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…An Introduction to Copulas (1999)An Introduction to CopulasFamilies of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters (1996)Families of $m$-variate distr…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Exchange rate co-movements and corporate foreign exchange exposures: A study on RMB (2023)Exchange rate co-movements an…Following the leaders? A study of co-movement and volatility spillover in BRICS currencies (2022)Following the leaders? A stud…Dependence structure across equity sectors: Evidence from vine copulas (2022)Dependence structure across e…COVID-19 pandemic and the dependence structure of global stock markets (2021)COVID-19 pandemic and the dep…Exchange Rate Interdependence in ASEAN Markets: A Wavelet Analysis (2020)Exchange Rate Interdependence…Detecting contagion in Asian exchange rate markets using asymmetric DCC-GARCH and R-vine copulas (2019)Detecting contagion in Asian …Detecting exchange rate contagion using copula functions (2018)Detecting exchange rate conta…Nonlinearities and financial contagion in Latin American stock markets (2015)Nonlinearities and financial …Expectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)A review of copula models for economic time series (2012)Extreme Correlation of International Equity Markets (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Truncated regular vines in high dimensions with application to financial data (2012)The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach (2018)Multivariate Simultaneous Generalized ARCH (1995)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)A theory of economic development. (1961)Fear of Floating (2000)What you export matters (2006)The classification and performance of alternative exchange-rate systems (2008)The International Monetary Fund: 70 Years of Reinvention (2016)When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries (2019)Modeling International Financial Returns with a Multivariate Regime-switching Copula (2009)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)Copula Modelling of Dependence in Multivariate Time Series (2013)Parameter estimation for pair-copula constructions (2013)Are Sharia stocks, gold and U.S. Treasury hedges and/or safe havens for the oil-based GCC markets? (2015)Introductory Econometrics for Finance (2008)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Generating random correlation matrices based on vines and extended onion method (2009)
this work references cited by second hop

References

  • 1999An Introduction to Copulas7,743 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2007Pair-copula constructions of multiple dependence2,055 cited
  • 1996Families of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters777 cited
  • 2012Selecting and estimating regular vine copulae and application to financial returns743 cited
  • 2006Uncertainty Analysis with High Dimensional Dependence Modelling665 cited
  • 2012Fear of appreciation218 cited
  • 2007Uncertainty Analysis With High Dimensional Dependence Modelling110 cited
  • 2009A cospectral analysis of exchange rate comovements during Asian financial crisis102 cited
  • 2008Inflation targeting, reserves accumulation, and exchange rate management in Latin America80 cited
  • 2021A Concise History of Exchange Rate Regimes in Latin America73 cited
  • 2009Spatial contagion between financial markets: a copula‐based approach62 cited
  • 2008Strong Comovements of Exchange Rates: Theoretical and Empirical Cases when Currencies Become the Same Asset

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

60 cited
  • 2009Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets60 cited
  • Cited by

    • 2022Dependence structure across equity sectors: Evidence from vine copulas33 cited
    • 2022Following the leaders? A study of co-movement and volatility spillover in BRICS currencies29 cited
    • 2019Detecting contagion in Asian exchange rate markets using asymmetric DCC-GARCH and R-vine copulas28 cited
    • 2018Detecting exchange rate contagion using copula functions27 cited
    • 2015Nonlinearities and financial contagion in Latin American stock markets25 cited
    • 2021COVID-19 pandemic and the dependence structure of global stock markets23 cited
    • 2020Exchange Rate Interdependence in ASEAN Markets: A Wavelet Analysis20 cited
    • 2023Exchange rate co-movements and corporate foreign exchange exposures: A study on RMB17 cited