Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/12927
Title: Revisiting the 1997 Asian Financial Crisis: A Copular Approach.
Authors: PEI FEI
Keywords: Crisis, Copula, Time-varying, Structure break, Asymmetric dependence, Tail behaviour
Issue Date: 31-Jul-2009
Source: PEI FEI (2009-07-31). Revisiting the 1997 Asian Financial Crisis: A Copular Approach.. ScholarBank@NUS Repository.
Abstract: This thesis is motivated by the stylized fact that the asymmetry in dependence usually exists in returns of financial data series. Owing to political and monetary reasons, this phenomenon may be present in daily changes of exchange rates. In this thesis, we study the relationships between five currencies in Asia around the period of Asian Financial Crisis in 1997. They include the Singapore Dollar, Japanese Yen, South Korea Won, Thailand Baht and Indonesia Rupiah. We employ various time-varying copula models to examine the possible structural breaks. We detect that significant changes at the dependence level, tail behavior and asymmetry structures between returns of all permuted pairs from the five currencies before and after the crisis. Other methods for identifying structure changes are explored. This is to compare and contrast findings using copular models with others. On balance, the copular approach seems to have more explanatory power than that of existing ones in identifying structure breaks.Dollar, Japanese Yen, South Korea Won, Thailand Baht and Indonesia Rupiah. We employ various time-varying copula models to examine the possible structural breaks. We detect that significant changes at the dependence level, tail behavior and asymmetry structures between returns of all permuted pairs from the five currencies before and after the crisis. Other methods for identifying structure changes are explored. This is to compare and contrast findings using copular models with others. On balance, this approach seems to have more explanatory power than that of existing ones in identifying structure breaks.
URI: http://scholarbank.nus.edu.sg/handle/10635/12927
Appears in Collections:Master's Theses (Open)

Show full item record
Files in This Item:
File Description SizeFormatAccess SettingsVersion 
PeiFei.pdf859.02 kBAdobe PDF

OPEN

NoneView/Download

Page view(s)

302
checked on Jan 14, 2018

Download(s)

87
checked on Jan 14, 2018

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.