Add to ORKGIn this paper we compare the performance of a regional indicator of vulnerability in predicting, out of sample, the crisis events affecting the South East Asian region during the 1997-98 period. A Dynamic Factor method was used to retrieve the vulnerability indicator and stochastic simulation is used to produce probability forecasts. The empirical findings suggest evidence of financial contagion.Financial contagion, Dynamic factor model
This paper examines the empirical literature on financial market contagion in Asia during the 1997–...
International audienceIn this paper we are testing for contagion caused by the Thai baht collapse of...
Contagion has been described as the spread of idiosyncratic shocks from one mar ket to another in t...
In this paper we compared the performance of country specific and regional indicators of reserve ade...
In this paper we use principal components analysis to obtain vulnerability indicators able to predic...
In this paper we use a Dynamic Factor model to retrieve vulnerability indicators able to predict fin...
In this paper we use principal components analysis to obtain vulnerability indicators able to predic...
In a case study of six East Asian economies, we use dynamic factor analysis to estimate a regional c...
In a case study of six East Asian economies, we use dynamic factor analysis to estimate a regional c...
This paper analyzes how the crisis in Asia spread during the second half of 1997. We cast our net wi...
This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, Indo...
This paper investigates whether Indonesia’s recent currency crisis was due to domestic fundamentals,...
Working Paper GATE 2007-25In this paper, we are interested in testing for contagion caused by the Th...
Journal of International Money and Finance, 26(7): pp. 1206-1228.We apply a dynamic conditional corr...
The increased episodes of the financial crises throughout the world in the 1990s motivated research ...
This paper examines the empirical literature on financial market contagion in Asia during the 1997–...
International audienceIn this paper we are testing for contagion caused by the Thai baht collapse of...
Contagion has been described as the spread of idiosyncratic shocks from one mar ket to another in t...
In this paper we compared the performance of country specific and regional indicators of reserve ade...
In this paper we use principal components analysis to obtain vulnerability indicators able to predic...
In this paper we use a Dynamic Factor model to retrieve vulnerability indicators able to predict fin...
In this paper we use principal components analysis to obtain vulnerability indicators able to predic...
In a case study of six East Asian economies, we use dynamic factor analysis to estimate a regional c...
In a case study of six East Asian economies, we use dynamic factor analysis to estimate a regional c...
This paper analyzes how the crisis in Asia spread during the second half of 1997. We cast our net wi...
This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, Indo...
This paper investigates whether Indonesia’s recent currency crisis was due to domestic fundamentals,...
Working Paper GATE 2007-25In this paper, we are interested in testing for contagion caused by the Th...
Journal of International Money and Finance, 26(7): pp. 1206-1228.We apply a dynamic conditional corr...
The increased episodes of the financial crises throughout the world in the 1990s motivated research ...
This paper examines the empirical literature on financial market contagion in Asia during the 1997–...
International audienceIn this paper we are testing for contagion caused by the Thai baht collapse of...
Contagion has been described as the spread of idiosyncratic shocks from one mar ket to another in t...