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ArticleStatistical distributions and the identification of currency crises

Susan Pozo2003

Article2003

Statistical distributions and the identification of currency crises

Susan Pozo · Catalina Amuedo‐Dorantes

65 citations·0/0 files stored·Journal of International Money and Finance

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Global Financial Crisis and Policies Monetary Policy and Economic Impact Banking stability, regulation, efficiency

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References

1965The Behavior of Stock-Market Prices 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1997Modelling Extremal Events 1996Currency crashes in emerging markets: An empirical treatment 1998Leading Indicators of Currency Crises 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices 1996Financial Crises in Emerging Markets: The Lessons from 1995

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2005Robust lessons about practical early warning systems 2013Emerging markets and heavy tails 2013Early warning systems for currency crises: A multivariate extreme value approach 2006Fundamental pitfalls of exchange market pressure-based approaches to identification of currency crises 2006Exchange Rate Regimes and Currency Crises: an Evaluation using Extreme Value Theory*2018Forecasting banking crises with dynamic panel probit models

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Year2003

Typearticle

Published2003-06-30

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations65

Files0 public / 0

ShelfGlobal Financial Crisis and Policies

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doi10.1016/s0261-5606(03)00024-x

openalex_workW2159601428

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2007Varying the VaR for unconditional and conditional environments

2004Predicting Currency Crisis Contagion from East Asia to Russia and Brazil: An Artificial Neural Network Approach