China-related exchange-rate tail risk in ASEAN emerging markets: Absolute and relative CoVaR evidence
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This paper examines China-related exchange-rate tail risk in four ASEAN economies—Malaysia, Singapore, Indonesia, and the Philippines—using a GARCH-Copula-CoVaR framework applied to daily U.S.-dollar exchange-rate returns from 4 January 2000 to 11 September 2025 (T = 6,443). All exchange rates are expressed as U.S. dollars per unit of local currency; negative returns therefore indicate local-currency depreciation against the U.S. dollar.
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Zenodo创建时间：
2026-06-03
