Overnight Borrowing, Interest Rates and Extreme Value Theory
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Bibliographic InfoPaper provided by Bilkent University, Department of Economics in its series Departmental Working Papers with number 0103.
Date of creation: 2001
Date of revision:
Financial crises; risk management; extreme value theory;
Other versions of this item:
- Gencay, Ramazan & Selcuk, Faruk, 2006. "Overnight borrowing, interest rates and extreme value theory," European Economic Review, Elsevier, vol. 50(3), pages 547-563, April.
- G0 - Financial Economics - - General
- G1 - Financial Economics - - General Financial Markets
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-04-15 (All new papers)
- NEP-IAS-2002-04-15 (Insurance Economics)
- NEP-IFN-2002-04-15 (International Finance)
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