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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sg-smu-ink.lkcsb_research-20932021-08-18T09:08:21Z A Cardan’s Discriminant Approach to Predicting Currency Crashes KOH, Benedict Seng Kee FONG, Wai Mun CHAN, Fabrice 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 distribution allows for bimodality, a switch between modes may give rise to currency crashes. A statistic known as Cardan's discriminant, based on the shape parameters of the GEN, is used to detect bimodality. The Cardan's discriminant is found to reliably predict currency crashes for eight emerging countries and generate relatively low false signals for stable currencies. 2007-02-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/lkcsb_research/1094 info:doi/10.1016/j.jimonfin.2006.08.001 https://ink.library.smu.edu.sg/context/lkcsb_research/article/2093/viewcontent/Cardan_2007_av.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Cardan's discriminant Currency crashes Emerging markets Generalized normal model Multimodality Finance and Financial Management Portfolio and Security Analysis |
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Cardan's discriminant Currency crashes Emerging markets Generalized normal model Multimodality Finance and Financial Management Portfolio and Security Analysis KOH, Benedict Seng Kee FONG, Wai Mun CHAN, Fabrice A Cardan’s Discriminant Approach to Predicting Currency Crashes |
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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 distribution allows for bimodality, a switch between modes may give rise to currency crashes. A statistic known as Cardan's discriminant, based on the shape parameters of the GEN, is used to detect bimodality. The Cardan's discriminant is found to reliably predict currency crashes for eight emerging countries and generate relatively low false signals for stable currencies. |
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KOH, Benedict Seng Kee FONG, Wai Mun CHAN, Fabrice |
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KOH, Benedict Seng Kee FONG, Wai Mun CHAN, Fabrice |
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KOH, Benedict Seng Kee |
title |
A Cardan’s Discriminant Approach to Predicting Currency Crashes |
title_short |
A Cardan’s Discriminant Approach to Predicting Currency Crashes |
title_full |
A Cardan’s Discriminant Approach to Predicting Currency Crashes |
title_fullStr |
A Cardan’s Discriminant Approach to Predicting Currency Crashes |
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A Cardan’s Discriminant Approach to Predicting Currency Crashes |
title_sort |
cardan’s discriminant approach to predicting currency crashes |
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Institutional Knowledge at Singapore Management University |
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2007 |
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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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