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LATIN AMERICAN EXCHANGE RATE DEPENDENCIES: A REGULAR VINE COPULA APPROACH
16 references·4 citing·38 second hop
LATIN AMERICAN EXCHANGE RATE DEPENDENCIES: A REGULAR VINE COPULA APPROACH (2014)LATIN AMERICAN EXCHANGE RATE DEPENDENCIES…Selecting and estimating regular vine copulae and application to financial returns (2012)Selecting and estimating regu…Fear of appreciation (2012)Fear of appreciationCapital Flows, Push versus Pull Factors and the Global Financial Crisis (2011)Capital Flows, Push versus Pu…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…Fear of Floating (2002)Fear of FloatingOn crises, contagion, and confusion (2000)On crises, contagion, and con…Fear of Floating (2000)Fear of FloatingWhat triggers market jitters? (1999)What triggers market jitters?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…A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence (1977)A Monetary Approach To The Ex…Expectations and Exchange Rate Dynamics (1976)Expectations and Exchange Rat…A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence (1976)A Monetary Approach to the Ex…Following the leaders? A study of co-movement and volatility spillover in BRICS currencies (2022)Following the leaders? A stud…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…Exchange rate contagion in Latin America (2015)Exchange rate contagion in La…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)The Purchasing-Power Parity Doctrine: A Reappraisal (1964)Theoretical Notes on Trade Problems (1964)On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials (1979)The Economics of Exchange Rates (2003)The Purchasing Power Parity Debate (2004)The Quarterly Journal of Economics (2024)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)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)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)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)A Rational Expectations Model of Financial Contagion (2002)A New Approach to Measuring Financial Contagion (2003)Introduction: The International Diffusion of Liberalism (2006)A Theory of Optimum Currency Areas (1961)The Optimal Degree of Commitment to an Intermediate Monetary Target (1985)Staggered Prices in a Utility-Maximizing Framework (1996)Distinguished Lecture on Economics in Government—Exchange Rate Regimes: Is the Bipolar View Correct? (2001)The Trilemma in History: Tradeoffs Among Exchange Rates, Monetary Policies, and Capital Mobility (2004)Stories of the Twentieth Century for the Twenty-First (2012)Rules, discretion and reputation in a model of monetary policy (1983)Classifying exchange rate regimes: Deeds vs. words (2004)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Introductory Econometrics for Finance (2008)Convergence Across States and Regions (1991)Purchasing Power Parity in the Long Run (1990)The behavior of real exchange rates during the post-Bretton Woods period (1998)Exchange Rates and Fundamentals (2005)
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References

  • 1999An Introduction to Copulas7,743 cited
  • 1976Expectations and Exchange Rate Dynamics4,704 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2000Fear of Floating2,063 cited
  • 2007Pair-copula constructions of multiple dependence2,055 cited
  • 2002Fear of Floating1,675 cited
  • 2000On crises, contagion, and confusion1,270 cited
  • 1977A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence981 cited
  • 1976A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence824 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
  • 1999What triggers market jitters?308 cited
  • 2011Capital Flows, Push versus Pull Factors and the Global Financial Crisis250 cited
  • 2012Fear of appreciation

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218 cited

Cited by

  • 2015Exchange rate contagion in Latin America35 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