A model forecasting risk for emerging market currencies

DOI10.1007/S10690-008-9065-1MaRDI QIDQ841844zbMATH OpenOpenAlexFDO

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

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)

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

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