Series: IMF Working Papers
Author(s): Zhiwei Zhang
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 November 2001
Keywords: ACH, currency crisis, duration analysis, contagion, speculative attacks, asian crisis, currency crises, equation, Econometric Modeling,
This paper takes the Asian crisis as an example to show that the Autoregressive Conditional Hazard (ACH) model is a powerful tool for studying the time series features of speculative attacks. The ACH model proposes...