Overnight borrowing, interest rates and extreme value theory
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Faruk Selcuk & Ramazan Gencay, 2001. "Overnight Borrowing, Interest Rates and Extreme Value Theory," Working Papers 0103, Department of Economics, Bilkent University.
References listed on IDEAS
- 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.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Tolga Umut Kuzubas & Inci Omercikoglu & Burak Saltoglu, 2013. "Network Centrality Measures and Systemic Risk: An Application to the Turkish Financial Crisis," Working Papers 2013/12, Bogazici University, Department of Economics.
- Oya Pinar Ardic, 2006.
"Output, the Real Exchange Rate and the Crises in Turkey,"
2006/03, Bogazici University, Department of Economics.
- Ardic, Oya Pinar, 2006. "Output, the Real Exchange Rate, and the Crises in Turkey," MPRA Paper 6099, University Library of Munich, Germany.
- repec:spt:apfiba:v:7:y:2017:i:3:f:7_3_6 is not listed on IDEAS
- 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.
- Levent Korap, 2006. "An Analysis of Central Bank Interventions on Forex Market For The Post-Crisis Period," Working Papers 2006/4, Turkish Economic Association.
- Gradojevic, Nikola & Gencay, Ramazan, 2008.
"Overnight interest rates and aggregate market expectations,"
Elsevier, vol. 100(1), pages 27-30, July.
- Nikola Gradojevic & Ramazan Gençay, 2009. "Overnight Interest Rates and Aggregate Market Expectations," Working Paper series 26_09, Rimini Centre for Economic Analysis.
- 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.
- U. Ozlale & E. Yeldan, 2004. "Measuring exchange rate misalignment in Turkey," Applied Economics, Taylor & Francis Journals, vol. 36(16), pages 1839-1849.
- 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, pages 1-26.
- Oya Pinar Ardic & Uygar Yuzereroglu, 2007. "How Do Individuals Choose Banks? An Application to Household Level Data from Turkey," Working Papers 2007/26, Bogazici University, Department of Economics.
- 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.
- 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.
- Umit Ozale & Erinc Yeldan, 2002. "Measuring Exchange Rate Misalignment," Working Papers 0206, Economic Research Forum, revised 14 Feb 2002.
- 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.
- 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.
More about this item
- G0 - Financial Economics - - General
- G1 - Financial Economics - - General Financial Markets
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:eecrev:v:50:y:2006:i:3:p:547-563. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/eer .