A model forecasting risk for emerging market currencies

DOI10.1007/S10690-008-9065-1zbMATH Open1170.91354OpenAlexW2023330548MaRDI QIDQ841844FDOQ841844

Authors: Masahiro Fukuhara, Yasufumi Saruwatari 

Publication date: 18 September 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-008-9065-1

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zbMATH Keywords

emerging market currencyequity market informationMarkov regime switchrisk forecast model

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

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Cited In (2)

• Evaluating currency risk in emerging markets
• Density forecasts of emerging markets' exchange rates using Monte Carlo simulation with regime switching

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