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Overnight borrowing, interest rates and extreme value theory

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  • Gencay, Ramazan
  • Selcuk, Faruk

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Bibliographic Info

Article provided by Elsevier in its journal European Economic Review.

Volume (Year): 50 (2006)
Issue (Month): 3 (April)
Pages: 547-563

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Handle: RePEc:eee:eecrev:v:50:y:2006:i:3:p:547-563

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References

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  1. Dennis Jansen & Casper de Vries, 1988. "On the frequency of large stock returns: putting booms and busts into perspective," Working Papers 1989-006, Federal Reserve Bank of St. Louis.
  2. Olivier V. Pictet & Michel M. Dacorogna & Ulrich A. Muller, 1996. "Heavy tails in high-frequency financial data," Working Papers 1996-12-11, Olsen and Associates.
  3. Pablo Emilio Guidotti & Carlos A. Végh Gramont, 1992. "Losing Credibility: The Stabilization Blues," IMF Working Papers 92/73, International Monetary Fund.
  4. Stanley Fischer, 2001. "Exchange Rate Regimes: Is the Bipolar View Correct?," Journal of Economic Perspectives, American Economic Association, vol. 15(2), pages 3-24, Spring.
  5. Rudi Dornbusch, 2002. "A Primer on Emerging-Market Crises," NBER Chapters, in: Preventing Currency Crises in Emerging Markets, pages 743-754 National Bureau of Economic Research, Inc.
  6. Michel Dacorogna & Höskuldur Ari Hauksson & Thomas Domenig & Ulrich Müller & Gennady Samorodnitsky, 2001. "Multivariate extremes, aggregation and risk estimation," CeNDEF Workshop Papers, January 2001 P2, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  7. Olivier V. Pictet & Michel M. Dacorogna & Ulrich A. Muller, 1996. "Hill, Bootstrap and Jackknife Estimators for Heavy Tails," Working Papers 1996-12-10, Olsen and Associates.
  8. Koedijk, C.G. & Schafgans, M.M.A. & Vries, C.G. de, 1990. "The tail index of exchange rate returns," Open Access publications from Tilburg University urn:nbn:nl:ui:12-3108722, Tilburg University.
  9. Longin, Francois M, 1996. "The Asymptotic Distribution of Extreme Stock Market Returns," The Journal of Business, University of Chicago Press, vol. 69(3), pages 383-408, July.
  10. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
  11. Hols, Martien C A B & de Vries, Casper G, 1991. "The Limiting Distribution of Extremal Exchange Rate Returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(3), pages 287-302, July-Sept.
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Citations

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Cited by:
  1. Ahmet Can Ýnci, 2007. "Currency and yield Co-integration between a developed and an emerging Country: The Case of Turkey," Bogazici Journal of Economics and Administrative Sciences, Bogazici University, Department of Economics, vol. 21(1+2), pages 1-20.
  2. Ardic, Oya Pinar, 2006. "Output, the Real Exchange Rate, and the Crises in Turkey," MPRA Paper 6099, University Library of Munich, Germany.
  3. U. Ozlale & E. Yeldan, 2004. "Measuring exchange rate misalignment in Turkey," Applied Economics, Taylor and Francis Journals, vol. 36(16), pages 1839-1849.
  4. Ardic, Oya Pinar & Yuzereroglu, Uygar, 2007. "How Do Individuals Choose Banks? An Application to Household Level Data from Turkey," MPRA Paper 6096, University Library of Munich, Germany.
  5. Oya Pinar Ardic & Uygar Yuzereroglu, 2006. "A Multinomial Logit Model of Bank Choice: An Application to Turkey," Working Papers 2006/02, Bogazici University, Department of Economics.
  6. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
  7. Lindsay A. Lechner & Timothy C. Ovaert, 2010. "Value-at-risk: Techniques to account for leptokurtosis and asymmetric behavior in returns distributions," Journal of Risk Finance, Emerald Group Publishing, vol. 11(5), pages 464-480, November.
  8. Levent Korap, 2006. "An Analysis of Central Bank Interventions on Forex Market For The Post-Crisis Period," Working Papers 2006/4, Turkish Economic Association.
  9. Raphael H. Solomon, 2004. "When Bad Things Happen to Good Banks: Contagious Bank Runs and Currency Crises," Working Papers 04-18, Bank of Canada.
  10. Alper Ozun & Atilla Cifter, 2010. "A wavelet network model for analysing exchange rate effects on interest rates," Journal of Economic Studies, Emerald Group Publishing, vol. 37(4), pages 405-418, September.

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