Early warning systems for currency crises: Amultivariate extreme value approach
We apply extreme value theory to assess the tail dependence between three currency crisis measures and 18 economic indicators commonly used for predicting crises. In our pooled sample of 46 countries in the period 1974-2008, we find that nearly all pairs of variables are asymptotically independent:...
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| Main Authors: | , |
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| Format: | Article |
| Published: |
2018
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| Subjects: | |
| Online Access: | https://repository.li.mahidol.ac.th/handle/123456789/31699 |
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| Institution: | Mahidol University |