Measuring tail thickness under GARCH and an application to extreme exchange rate changes
Niklas Wagner; Terry A. Marsh
| Year of publication: |
2005
|
|---|---|
| Authors: | Wagner, Niklas F. ; Marsh, Terry Alan |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 12.2005, 1, p. 165-185
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| Subject: | Wechselkurs | Exchange rate | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Theorie | Theory | Statistische Verteilung | Statistical distribution |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10002644047