Value-at-Risk (VaR) is a widely used tool for assessing financial market risk. In practice, the estimation of liquidity extreme risk by VaR generally uses models assuming independence of bid–ask spreads. However, bid–ask spreads tend to occur in clusters with time dependency, particularly...

This paper analyzes the feasibility of a monetary union in East Asia focusing on business cycles synchronization. Considering the critical role of trade integration in the East Asian integration process, we study whether East Asian countries are characterized by business cycle synchronization....

This paper analyzes the feasibility of a monetary union in East Asia focusing on business cycles synchronization. Considering the critical role of trade integration in the East Asian integration process, we study whether East Asian countries are characterized by business cycle synchronization....