Lopes, José Mário; Nunes, Luis C. - In: Journal of Macroeconomics 34 (2012) 4, pp. 1141-1153
We develop a general econometric model of currency crises and contagion that integrates a number of important features appearing in many different models recently proposed in the literature. In particular, we consider a Markov regime switching vector autoregression conditional heteroskedastic...