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Variation in the slope coefficient of the Fama regression for testing uncovered interest rate parity : evidence from fixed and time-varying coefficient approaches

Koning, Camiel de; Straetmans, Stefan - 1997

Persistent link: https://www.econbiz.de/10000953290

Comovements of different asset classes during market stress

Piplack, Jan; Straetmans, Stefan - In: Pacific economic review 15 (2010) 3, pp. 385-400

Persistent link: https://www.econbiz.de/10008696380

Testing for multiple regimes in the tail behavior of emerging currency returns

Candelon, Bertrand; Straetmans, Stefan - In: Journal of international money and finance 25 (2006) 7, pp. 1187-1205

Persistent link: https://www.econbiz.de/10003394359

Tail behavior of credit loss distributions for general latent factor models

Lucas, André; Klaassen, Pieter; Spreij, Peter; … - 2001

Using a limiting approach to portfolio credit risk, we obtain analyticexpressions for the tail behavior of the distribution of credit losses. We showthat in many cases of practical interest the distribution of these losses haspolynomial ('fat') rather than exponential ('thin') tails. Our...

Persistent link: https://www.econbiz.de/10011316891