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• W1878424110 abstract "We formally test that a process containing Brownian motion and jumps characterises the high frequency observations for eight Asian currencies against the US dollar. By harnessing the changes in behaviour of the data during periods of stress we develop a new indicator to detect stress dates in currency markets. We find that the global share of currency trade for each currency relates to the frequency of stress days detected. We align the stress dates to economic and political conditions using central bank and IMF reports on developments in currency markets." @default.
• W1878424110 created "2016-06-24" @default.
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• W1878424110 date "2014-09-01" @default.
• W1878424110 modified "2023-09-27" @default.
• W1878424110 title "Identifying Periods of Financial Stress in Asian Currencies: The Role of High Frequency Financial Market Data" @default.
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• W1878424110 hasPublicationYear "2014" @default.
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