Early warning systems for currency crises: A multivariate extreme value approach

Author:

Cumperayot Phornchanok,Kouwenberg Roy

Funder

Global Association of Risk Professionals (GARP)

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference36 articles.

1. Statistics of Extremes: Theory and Application;Beirlant,2004

2. Assessing early warning systems: how have they worked in practice?;Berg;IMF Staff Papers,2005

3. Predicting currency crises: the indicators approach and an alternative;Berg;Journal of International Money and Finance,1999

4. Robust lessons about practical early warning systems;Beckmann;Journal of Policy Modeling,2006

5. The local power of some unit root tests for panel data;Breitung,2000

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