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Extreme spillovers across Asian-Pacific currencies: A quantile-based analysis

  • Published:2020-11 Issue: Volume:72 Page:101605
  • ISSN:1057-5219
  • Container-title:International Review of Financial Analysis
  • language:en
  • Short-container-title:International Review of Financial Analysis

Author:

Bouri Elie,Lucey Brian,Saeed Tareq,Vo Xuan Vinh

Funder

Deanship of Scientific Research (DSR) at King Abdulaziz University, Jeddah, Saudi Arabia

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference57 articles.

1. Capital flows to emerging market economies: A brave new world?;Ahmed;Journal of International Money and Finance,2014

2. Extreme co-movements and dependencies among major international exchange rates: A copula approach;Albulescu;The Quarterly Review of Economics and Finance,2018

3. Comovement of exchange rates: A wavelet analysis;Andrieş;Emerging Markets Finance and Trade,2016

4. International asset allocation with regime shifts;Ang;The Review of Financial Studies,2002

5. Exchange return co-movements and volatility spillovers before and after the introduction of euro;Antonakakis;Journal of International Financial Markets Institutions and Money,2012
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