Hartmann, P.; Straetmans, S.; de Vries, C.G. - In: Journal of Empirical Finance 17 (2010) 2, pp. 241-254
In affine models of foreign exchange rate returns, the nature of cross sectional interdependence in crisis periods hinges on the tail properties of the fundamentals' distribution. If the fundamentals exhibit thin tails like the normal distribution, the dependence vanishes asymptotically; while...
