Risk research: Currency crises, (hidden) linkages, and volume

Currency crises, (hidden) linkages, and volume

Daníelsson, J., M. Bruche, and G. Galati (2007, February). Currency crises, (hidden) linkages, and volume.

The conference presentation was based on Bruche et al (2006) who study contagion in foreign exchange markets in the post Asian crisis era. They develop a factor model specific to foreign exchange markets, where a keys explanatory variable is foreign exchange trading volume. They find that their model identifies crisis episodes where volume has significant explanatory power. This suggests that trading volume would be an important variable policy makers should monitor in their analysis of currency crisis.

@MISC{DanielssonBrucheGalati2007,
  author =  {J{\'o}n Dan{\'i}elsson and  Max Bruche and Gabriele
                  Galati},
  title =   {Currency crises, (hidden) linkages, and volume},
  year =    2007,
 }

Comparing downside risk measures for heavy tailed distributions

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