Overnight Borrowing, Interest Rates and Extreme Value Theory
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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.
References listed on IDEAS
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- 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.
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More about this item
KeywordsFinancial crises; risk management; extreme value theory;
- G0 - Financial Economics - - General
- G1 - Financial Economics - - General Financial Markets
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-IFN-2002-04-15 (International Finance)
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