文章基本信息
- 标题：A global hazard index for the world foreign exchange markets
- 本地全文：下载
- 作者：Vincent Brousseau ; Fabio Scacciavillani
- 期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
- 印刷版ISSN：1830-3420
- 电子版ISSN：1830-3439
- 出版年度：1999
- 出版社：European Central Bank
- 摘要：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
