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This study provides insight on investment in emerging-market currencies by investigating the cross-currency combined term structures of deliverable forward and non-deliverable forward premiums as each other’s onshore spot rate change predictor.The theoretical model motivating the analysis is based on the framework developed by Nucci (2003) in the context of emerging market currencies.Three groups of emerging market currencies from three different regions,i.e.,Northeast Asia,Southeast Asia and Latin America are employed to conduct the empirical analysis.Using DCC-GARCH-X-MSKST model,we justify the importance of incorporating the cross-currency effect in accounting for each currency’s exchange rate movement.Moreover,the significances of volatility clustering within the currency and spillover effect across currencies further supports the overall consideration of interrelationship among different currencies in making investment decision on emerging-market currencies.