A Cardan’s Discriminant Approach to Predicting Currency Crashes

A Cardan’s Discriminant Approach to Predicting Currency Crashes

This paper models large swings in exchange rates by introducing nonlinearity via the generalized normal (GEN) distribution [Lye, J.N., Martin, V.L., 1993. Robust estimation, nonnormalities and generalized exponential distributions. Journal of the American Statistical Association 88, 261-267]. As the...

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Bibliographic Details
Main Authors: KOH, Benedict Seng Kee, FONG, Wai Mun, CHAN, Fabrice
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2007
Subjects:
Cardan's discriminant
Currency crashes
Emerging markets
Generalized normal model
Multimodality
Finance and Financial Management
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/1094
https://ink.library.smu.edu.sg/context/lkcsb_research/article/2093/viewcontent/Cardan_2007_av.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/lkcsb_research/1094
https://ink.library.smu.edu.sg/context/lkcsb_research/article/2093/viewcontent/Cardan_2007_av.pdf

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