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Overnight borrowing, interest rates and extreme value theory

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Gencay, Ramazan
Selcuk, Faruk

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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 listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  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. [Downloadable!]
    Other versions:
  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. [Downloadable!]
  3. 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. [Downloadable!] (restricted)
  4. 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.
  5. 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. [Downloadable!]
  6. Vries, Caspar de & Danielsson, Jon, 1996. "Tail Index and Quantile Estimation with Very High Frequency Data," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich.
  7. Rudi Dornbusch, 2001. "A Primer on Emerging Market Crises," NBER Working Papers 8326, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  8. 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. [Downloadable!] (restricted)
  9. Longin, Francois M, 1996. "The Asymptotic Distribution of Extreme Stock Market Returns," Journal of Business, University of Chicago Press, vol. 69(3), pages 383-408, July. [Downloadable!] (restricted)
  10. Guidotti, Pablo E & Vegh, Carlos A, 1999. "Losing Credibility: The Stabilization Blues," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(1), pages 23-51, February.
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Ardic, Oya Pinar, 2006. "Output, the Real Exchange Rate, and the Crises in Turkey," MPRA Paper 6099, University Library of Munich, Germany. [Downloadable!]
    Other versions:
  2. Ü. Özlale & E. Yeldan, 2004. "Measuring exchange rate misalignment in Turkey," Applied Economics, Taylor and Francis Journals, vol. 36(16), pages 1839-1849, September. [Downloadable!] (restricted)
  3. 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. [Downloadable!]
    Other versions:
  4. Raphael H. Solomon, 2004. "When Bad Things Happen to Good Banks: Contagious Bank Runs and Currency Crises," Working Papers 04-18, Bank of Canada. [Downloadable!]
  5. Levent Korap, 2006. "An Analysis of Central Bank Interventions on Forex Market For The Post-Crisis Period," Working Papers 2006/4, Turkish Economic Association. [Downloadable!]
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