Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes
Year of publication: |
2004-01-30
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Authors: | Wagner, Niklas ; Marsh, Terry A. |
Institutions: | EconWPA |
Subject: | fat tails | tail index | stationary marginal distribution | GARCH | Hill estimator | foreign exchange |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Type of Document - pdf; prepared on win00; to print on laserjet; pages: 40 40 pages |
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; F31 - Foreign Exchange |
Source: |
-
Measuring Tail Thickness under GARCH and an Application to Extremal Exchange Rate Changes
Wagner, Niklas, (2003)
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Which Extreme Values are Really Extremes?
Olmo, Jose, (2004)
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Assessing Confidence Intervals for the Tail Index by Edgeworth Expansions for the Hill Estimator
Haeusler, E., (2005)
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Return-Volume Dependence and Extremes in International Equity Markets
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Surprise volume and heteroskedasticity in equity market returns
Wagner, Niklas, (2004)
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