A Multifactor Model of Exchange Rates with Unanticipated Shocks: Measuring Contagion in the East Asian Currency Crisis

Journal of Emerging Market Finance

Volumn 3, Issue 3, 2004, Pages 305-330

  Dungey, Mardi ^a   Martin, Vance L ^b  

^a AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

^b UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

contagion; currency crisis; indirect estimation; Latent factor; volatility

Indexed keywords

EID: 85007700284     PISSN: 09726527     EISSN: None     Source Type: Journal    
DOI: 10.1177/097265270400300305     Document Type: Article

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