Structural Change in Tail Behavior and the Asian Financial Crisis
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Cited by:
- Elena Andreou, 2004.
"The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests,"
Journal of Financial Econometrics, Oxford University Press, vol. 2(2), pages 290-318.
- Elena Andreou & Eric Ghysels, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," CIRANO Working Papers 2004s-25, CIRANO.
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More about this item
Keywords
Extreme value theory; Hill estimator; Structural change; Tail index estimation;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2001-05-16 (Financial Markets)
- NEP-IFN-2001-05-16 (International Finance)
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