Showing 1 - 2 of 2
filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility …
Persistent link: https://www.econbiz.de/10010753741
The present paper focuses on three questions: (i) Are heavy tails a relevant feature of the distribution of BUND futures returns? (ii) Is the tail behaviour constant over time? (iii) If it is not, can we use the tail index as an indicator for financial market risk and does it add value in...
Persistent link: https://www.econbiz.de/10005227539