A Cardan’s Discriminant Approach to Predicting Currency Crashes

• Main Authors: KOH, Benedict Seng Kee, FONG, Wai Mun, CHAN, Fabrice
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2007
• 主題: Cardan's discriminant; Currency crashes; Emerging markets; Generalized normal model; Multimodality; Finance and Financial Management; Portfolio and Security Analysis
• 在線閱讀: 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
• 機構: Singapore Management University

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...