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Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1998
Persistent link: https://www.econbiz.de/10000980737
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Short patches of outliers, ARCH and volatility modelling
Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998
Persistent link: https://www.econbiz.de/10000986130
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Monetary policy regimes and economic performance : the historical record
Bordo, Michael D.; Schwartz, Anna Jacobson - 1997
Persistent link: https://www.econbiz.de/10000642816
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Was adherence to the gold standard a "good housekeeping seal of approval" during the interwar period?
Bordo, Michael D.; Edelstein, Michael; Rockoff, Hugh - 1999
Persistent link: https://www.econbiz.de/10001392004
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Is globalization today really different than globalization a hundred years ago?
Bordo, Michael D.; Eichengreen, Barry; Irwin, Douglas A. - 1999
for the United States but also with reference to the wider world. We establish the outlines of international integration a … century ago and analyze the institutional and informational impediments that prevented the late nineteenth century world from … achieving the same degree of integration as today. We conclude that the world today is different: commercial and financial …
Persistent link: https://www.econbiz.de/10001392028
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The imbalances of the Bretton Woods system 1965 to 1973 : U.S. inflation, the elephant in the room
Bordo, Michael D. - 2018
Persistent link: https://www.econbiz.de/10011981874
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Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1997
Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...
Persistent link: https://www.econbiz.de/10010533206
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Tales from the Bretton Woods
Bordo, Michael D. - 2014
Persistent link: https://www.econbiz.de/10010389635
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From the exchange stabilization fund to the International Monetary Fund
Bordo, Michael D.; Schwartz, Anna Jacobson - 2001
Persistent link: https://www.econbiz.de/10001548716
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Long memory and fractional integration in high frequency financial time series
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
Persistent link: https://www.econbiz.de/10003979849