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Foreign Exchange Market Contagion in the Asian Crisis: A Regression-Based Approach

โœ Scribed by Neeltje van Horen; Henk Jager; Franc Klaassen

Publisher
Springer-Verlag
Year
2006
Tongue
English
Weight
253 KB
Volume
142
Category
Article
ISSN
1610-2878

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High-frequency financial data of the foreign exchange market (EUR/CHF, EUR/GBP, EUR/JPY, EUR/NOK, EUR/ SEK, EUR/USD, NZD/USD, USD/CAD, USD/CHF, USD/JPY, USD/NOK, and USD/SEK) are analyzed by utilizing the Kullback-Leibler divergence between two normalized spectrograms of the tick frequency and the g