مرکز منطقه ای اطلاع رساني علوم و فناوري - Measuring tail thickness under GARCH and an application to extreme exchange rate changes

Title of article :

Measuring tail thickness under GARCH and an application to extreme exchange rate changes

Author/Authors :

Niklas Wagner، نويسنده , , Terry A. Marsh، نويسنده ,

Issue Information :

دوماهنامه با شماره پیاپی سال 2005

Pages :

From page :

165

To page :

185

Keywords :

GARCH , Fat tails , Hill estimator , Foreign exchange , Stationary marginal distribution , Tail index

Journal title :

Journal of Empirical Finance

Serial Year :

2005

Journal title :

Journal of Empirical Finance

Record number :

130794

Link To Document :