How to cite this paper
Selmi, N & Hachicha, N. (2015). Persistence of currency crises: evidence to Asian and subprime crisis.Management Science Letters , 5(3), 261-270.
Refrences
Artus, P. (2000). Crises de pays émergents. Faits et modèles explicatifs, Economica, Paris.
Caramazza, F., Ricci, L. A., & Salgado, L. (2000). Trade and Financial Contagion in Currency Crises. IMF Working Papers, 55, March.
Caramazza, F., Ricci, L.A., & Salgado, R. (2004). International contagion in currency crises. Journal of International Money and Finance, 23, 51-70.
Cartapanis, A. (2003). Vers une prévention macro-prudentielle des crises financières internationales. Revue d & apos; économie financière, 70(1), 89-100.
Fazio, G. (2007). Extreme interdependence and extreme contagion between emerging markets. Journal of International Money and Finance, 26(8), 1261-1291.
Flood, R. P., & Marion, N. P. (1996). Speculative attacks: fundamentals and self-fulfilling prophecies (No. w5789). National bureau of economic research.
Forbes, K. J., & Rigobon, R. (2002). No contagion, only interdependence: measuring stock market comovements. The journal of finance, 57(5), 2223-2261.
Granger, C. W., & Joyeux, R. (1980). An introduction to long?memory time series models and fractional differencing. Journal of time series analysis, 1(1), 15-29.
Gravereau, J., & Trauman, J., (2001). Crises financières, Economica.
Hosking, J. R. (1981). Fractional differencing. Biometrika, 68(1), 165-176.
Hurst, H., (1951). Long term storage capacity of reservoirs. Transactions of the American Society of Civil Engineers, 116, 770-779.
Hurvich, C. M., & Chen, W. W. (2000). An Efficient Taper for Potentially Overdifferenced Long?memory Time Series. Journal of Time Series Analysis,21(2), 155-180.
Kaminsky, G., Lyons, R., & Schmukler, S. (2000). Economic fragility, liquidity, and risk: the behavior of mutual funds during crises. unpublished paper, World Bank.
Lee, J., & Strazicich, M.C., (2003). Minimum LM unit root test with two structural breaks. Review of Economics and Statistics, 85(4), 1082-1089.
Lee, J., & Strazicich, M.C., (2004). Minimum LM unit root test with one structural break. Working Paper, Department of Economics, Appalachain State University.
Obstfeld, M. (1995). Risk-taking, global diversification, and growth (No. w4093). National Bureau of Economic Research.
Pritsker, M. B. (2001). The Channels for Financial Contagion, International Financial Contagion. Kluwer Academic Publishers, 67-95.
Radelet, S. & Sachs, J. (1998). The onset of the East Asian financial crisis. NBER Working Paper, 6680.
Sbracia, M., & Zaghini, A. (2001). Crises and contagion: the role of the banking system. Marrying the Macro and Micro Prudential Dimensions of Stability, BIS Papers, 1, 241-260.
Selmi, N., & Hachicha, N. (2010). Long range dependency and forecasting of housing price index and mortgage market rate evidence of subprime crisis published in the proceeding of Conference « Prospective Stratégies et Développement Durable: Quel chemin parcouru? Quelles réponses face aux nouvelles contraintes Economiques et climatiques» (21-23 juin, Hammamet Yasmine (Tunisie)).
Shimotsu, K., & Phillips, P.C.B. (2006). Exact local Whittle estimation of fractional integration. Annals Statistics, 33, 1890-1933.
Velasco, C. (1999). Gaussian Semiparametric Estimation of Non?stationary Time Series. Journal of Time Series Analysis, 20(1), 87-127.
Caramazza, F., Ricci, L. A., & Salgado, L. (2000). Trade and Financial Contagion in Currency Crises. IMF Working Papers, 55, March.
Caramazza, F., Ricci, L.A., & Salgado, R. (2004). International contagion in currency crises. Journal of International Money and Finance, 23, 51-70.
Cartapanis, A. (2003). Vers une prévention macro-prudentielle des crises financières internationales. Revue d & apos; économie financière, 70(1), 89-100.
Fazio, G. (2007). Extreme interdependence and extreme contagion between emerging markets. Journal of International Money and Finance, 26(8), 1261-1291.
Flood, R. P., & Marion, N. P. (1996). Speculative attacks: fundamentals and self-fulfilling prophecies (No. w5789). National bureau of economic research.
Forbes, K. J., & Rigobon, R. (2002). No contagion, only interdependence: measuring stock market comovements. The journal of finance, 57(5), 2223-2261.
Granger, C. W., & Joyeux, R. (1980). An introduction to long?memory time series models and fractional differencing. Journal of time series analysis, 1(1), 15-29.
Gravereau, J., & Trauman, J., (2001). Crises financières, Economica.
Hosking, J. R. (1981). Fractional differencing. Biometrika, 68(1), 165-176.
Hurst, H., (1951). Long term storage capacity of reservoirs. Transactions of the American Society of Civil Engineers, 116, 770-779.
Hurvich, C. M., & Chen, W. W. (2000). An Efficient Taper for Potentially Overdifferenced Long?memory Time Series. Journal of Time Series Analysis,21(2), 155-180.
Kaminsky, G., Lyons, R., & Schmukler, S. (2000). Economic fragility, liquidity, and risk: the behavior of mutual funds during crises. unpublished paper, World Bank.
Lee, J., & Strazicich, M.C., (2003). Minimum LM unit root test with two structural breaks. Review of Economics and Statistics, 85(4), 1082-1089.
Lee, J., & Strazicich, M.C., (2004). Minimum LM unit root test with one structural break. Working Paper, Department of Economics, Appalachain State University.
Obstfeld, M. (1995). Risk-taking, global diversification, and growth (No. w4093). National Bureau of Economic Research.
Pritsker, M. B. (2001). The Channels for Financial Contagion, International Financial Contagion. Kluwer Academic Publishers, 67-95.
Radelet, S. & Sachs, J. (1998). The onset of the East Asian financial crisis. NBER Working Paper, 6680.
Sbracia, M., & Zaghini, A. (2001). Crises and contagion: the role of the banking system. Marrying the Macro and Micro Prudential Dimensions of Stability, BIS Papers, 1, 241-260.
Selmi, N., & Hachicha, N. (2010). Long range dependency and forecasting of housing price index and mortgage market rate evidence of subprime crisis published in the proceeding of Conference « Prospective Stratégies et Développement Durable: Quel chemin parcouru? Quelles réponses face aux nouvelles contraintes Economiques et climatiques» (21-23 juin, Hammamet Yasmine (Tunisie)).
Shimotsu, K., & Phillips, P.C.B. (2006). Exact local Whittle estimation of fractional integration. Annals Statistics, 33, 1890-1933.
Velasco, C. (1999). Gaussian Semiparametric Estimation of Non?stationary Time Series. Journal of Time Series Analysis, 20(1), 87-127.