Markov switching GARCH models of currency turmoil in Southeast Asia

Emerging Markets Review

Volumn 9, Issue 2, 2008, Pages 104-128

  Brunetti, Celso ^a   Scotti, Chiara ^b   Mariano, Roberto S ^c   Tan, Augustine H H ^c  

^a JOHNS HOPKINS UNIVERSITY   (United States)

^b FEDERAL RESERVE BOARD   (United States)

^c SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

Author keywords

Banking sector; Currency crises; Financial markets; Regime switching; Volatility

Indexed keywords

EID: 43949087825     PISSN: 15660141     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ememar.2008.02.005     Document Type: Article

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