کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
964398 | 930521 | 2006 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Testing for multiple regimes in the tail behavior of emerging currency returns
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
It is by now generally accepted that foreign exchange returns exhibit “heavy tails” as measured by the so-called tail index. However, it is unclear whether the tail behavior remains stationary in the presence of recurrent switches in the exchange rate regime. We therefore test the null hypothesis of tail index constancy by applying a single breaks test “in rounds” which enables the detection of multiple breakpoints. We are able to identify multiple jumps in the tail index of currency returns. Moreover, some breaks coincide with documented shifts in monetary and exchange rate policies.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 25, Issue 7, November 2006, Pages 1187-1205
Journal: Journal of International Money and Finance - Volume 25, Issue 7, November 2006, Pages 1187-1205
نویسندگان
Bertrand Candelon, Stefan Straetmans,