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Overnight borrowing, interest rates and extreme value theory

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  • Gencay, Ramazan
  • Selcuk, Faruk

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  • Gencay, Ramazan & Selcuk, Faruk, 2006. "Overnight borrowing, interest rates and extreme value theory," European Economic Review, Elsevier, vol. 50(3), pages 547-563, April.
    • Handle: RePEc:eee:eecrev:v:50:y:2006:i:3:p:547-563
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    References listed on IDEAS

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    1. Gencay, Ramazan & Selcuk, Faruk, 2004. "Extreme value theory and Value-at-Risk: Relative performance in emerging markets," International Journal of Forecasting, Elsevier, vol. 20(2), pages 287-303.
    2. 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.
    3. Gençay, Ramazan & Dacorogna, Michel & Muller, Ulrich A. & Pictet, Olivier & Olsen, Richard, 2001. "An Introduction to High-Frequency Finance," Elsevier Monographs, Elsevier, edition 1, number 9780122796715.
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    Cited by:

    1. Jose PINEDA & Rodolfo MÉNDEZ, 2009. "Fiscal Sustainability and Economic Growth in Bolivia," EcoMod2009 21500075, EcoMod.
    2. Kuzubaş, Tolga Umut & Ömercikoğlu, Inci & Saltoğlu, Burak, 2014. "Network centrality measures and systemic risk: An application to the Turkish financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 203-215.
    3. Ahmet Can Ýnci, 2007. "Currency and yield Co-integration between a developed and an emerging Country: The Case of Turkey," Bogazici Journal, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 21(1+2), pages 1-20.
    4. Oya Pinar Ardic, 2006. "Output, the Real Exchange Rate and the Crises in Turkey," Working Papers 2006/03, Bogazici University, Department of Economics.
    5. U. Ozlale & E. Yeldan, 2004. "Measuring exchange rate misalignment in Turkey," Applied Economics, Taylor & Francis Journals, vol. 36(16), pages 1839-1849.
    6. Gradojevic, Nikola & Gencay, Ramazan, 2008. "Overnight interest rates and aggregate market expectations," Economics Letters, Elsevier, vol. 100(1), pages 27-30, July.
    7. Rashid Nikzad & David McDonald, 2017. "Extreme Value Theory with an Application to Bank Failures through Contagion," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(3), pages 1-6.
    8. Ardic Oya Pinar & Yuzereroglu Uygar, 2009. "How Do Individuals Choose Banks? An Application to Household Level Data from Turkey," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 9(1), pages 1-26, June.
    9. 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.
    10. 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.
    11. Umit Ozale & Erinc Yeldan, 2002. "Measuring Exchange Rate Misalignment," Working Papers 0206, Economic Research Forum, revised 14 Feb 2002.
    12. Levent Korap, 2006. "An Analysis of Central Bank Interventions on Forex Market For The Post-Crisis Period," Working Papers 2006/4, Turkish Economic Association.
    13. Cifter, Atilla, 2011. "Value-at-risk estimation with wavelet-based extreme value theory: Evidence from emerging markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(12), pages 2356-2367.
    14. Raphael Solomon, 2004. "When Bad Things Happen to Good Banks: Contagious Bank Runs and Currency Crises," Staff Working Papers 04-18, Bank of Canada.
    15. Bi, Guang & Giles, David E., 2009. "Modelling the financial risk associated with U.S. movie box office earnings," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2759-2766.

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    More about this item

    JEL classification:

    • G0 - Financial Economics - - General
    • G1 - Financial Economics - - General Financial Markets
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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