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

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  • Wagner, Niklas
  • Marsh, Terry A.
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    File URL: http://www.sciencedirect.com/science/article/B6VFG-4C04XR5-2/2/c72753432680964fbd571c4bee18aa39
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Empirical Finance.

    Volume (Year): 12 (2005)
    Issue (Month): 1 (January)
    Pages: 165-185

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    Handle: RePEc:eee:empfin:v:12:y:2005:i:1:p:165-185

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    Web page: http://www.elsevier.com/locate/jempfin

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    References

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    1. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-55, January.
    2. Huisman, Ronald & Koedijk, Kees G. & Pownall, Rachel A.J., 2007. "VaR-x: fat tails in financial risk management," Open Access publications from Maastricht University urn:nbn:nl:ui:27-19574, Maastricht University.
    3. Francis X. Diebold & Til Schuermann & John D. Stroughair, 1998. "Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-081, New York University, Leonard N. Stern School of Business-.
    4. Huisman, Ronald, et al, 2001. "Tail-Index Estimates in Small Samples," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 208-16, April.
    5. Wagner, Niklas & Marsh, Terry, 2000. "On Adaptive Tail Index Estimation for Financial Return Models," Research Program in Finance, Working Paper Series qt2651k8f5, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley.
    6. J. Danielsson & L. de Haan & L. Peng & C.G. de Vries, 1997. "Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation," Tinbergen Institute Discussion Papers 97-016/4, Tinbergen Institute.
    7. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    8. Niklas Wagner and Terry Marsh., 2000. "On Adaptive Tail Index Estimation for Financial Return Models," Research Program in Finance Working Papers RPF-295, University of California at Berkeley.
    9. 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.
    10. Drees, Holger & Kaufmann, Edgar, 1998. "Selecting the optimal sample fraction in univariate extreme value estimation," Stochastic Processes and their Applications, Elsevier, vol. 75(2), pages 149-172, July.
    11. Jondeau, E. & Rockinger, M., 1999. "The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets," Working papers 66, Banque de France.
    12. Phillip Kearns & Adrian Pagan, 1997. "Estimating The Density Tail Index For Financial Time Series," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 171-175, May.
    13. McNeil, Alexander J. & Frey, Rudiger, 2000. "Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 271-300, November.
    14. Huisman, Ronald & Koedijk, Kees G. & Kool, Clemens J.M. & Palm, Franz, 2001. "Tail-index estimates in small samples," Open Access publications from Maastricht University urn:nbn:nl:ui:27-5756, Maastricht University.
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    Cited by:
    1. Emma M. Iglesias & Oliver Linton, 2009. "Estimation of tail thickness parameters from GJR-GARCH models," Economics Working Papers we094726, Universidad Carlos III, Departamento de Economía.
    2. Mohammad Karimi & Marcel-Cristian Voia, 2011. "Identifying Extreme Values of Exchange Market Pressure," Carleton Economic Papers 11-10, Carleton University, Department of Economics.

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