Koedijk, Kees G; Kool, Clemens J M - In: Review of International Economics 2 (1994) 2, pp. 153-65
Characteristically, distributions of exchange-rate returns are fat-tailed. We use a nonparametric tail-index estimator based on extreme value theory for seven EMS currencies between April 1979 and October 1991. We find that the behavior of the Belgian franc, the Danish Krone, the Frnech franc,...