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

2004 ◽  
Vol 3 (3) ◽  
pp. 305-330 ◽  
Author(s):  
Mardi Dungey ◽  
Vance L. Martin
Keyword(s):  
Exchange Rates ◽  
Currency Crisis ◽  
East Asian ◽  
Multifactor Model ◽  
Asian Currency Crisis

scholarly journals Sudden Changes In Volatility In European Stock Markets

2014 ◽  
Vol 30 (6) ◽  
pp. 1567
Author(s):  
Khaled Guesmi ◽  
Frederic Teulon ◽  
Zied Ftiti
Keyword(s):  
United Kingdom ◽  
Financial Crisis ◽  
Stock Markets ◽  
Regime Switching ◽  
Currency Crisis ◽  
East Asian ◽  
Subprime Crisis ◽  
Asian Currency Crisis ◽  
European Stock Markets ◽  
The U.S

This paper studiesthe volatility in ten Europeanstock markets (Denmark, France, Germany, Ireland, Italy, Netherland, Spain, Sweden,Switzerland and United Kingdom) during the periods of financial crisis (East Asian currency crisis, Subprime crisis) from 1990 to 2012. We apply Markov Regime Switching SW-GARCHmodel. Our results show that mostof the European stock markets are closely interlinked to the U.S.

EAST-ASIAN CURRENCY CRISIS AND IMF\S APPROACH

1999 ◽  
Vol 10 (32) ◽  
pp. 87
Author(s):  
Arslan YiGiDiM
Keyword(s):  
Currency Crisis ◽  
East Asian ◽  
Asian Currency Crisis
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