Time variation in the tail behaviour of bunds futures returns
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- Upper, Christian & Werner, Thomas, 2002. "Time Variation in the Tail Behaviour of Bund Futures Returns," Discussion Paper Series 1: Economic Studies 2002,25, Deutsche Bundesbank.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- John Cotter & Kevin Dowd, 2010.
"Estimating financial risk measures for futures positions: A nonparametric approach,"
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John Wiley & Sons, Ltd., vol. 30(7), pages 689-703, July.
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- John Cotter & Kevin Dowd, 2011. "Estimating Financial Risk Measures for Futures Positions:A Non-Parametric Approach," Working Papers 200613, Geary Institute, University College Dublin.
- john cotter & kevin dowd, 2011. "Estimating financial risk measures for futures positions: a non-parametric approach," Papers 1103.5666, arXiv.org.
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- Straetmans, Stefan & Candelon, Bertrand, 2013. "Long-term asset tail risks in developed and emerging markets," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 1832-1844.
- Onofrio Panzarino & Francesco Potente & Alfonso Puorro, 2016. "BTP futures and cash relationships: a high frequency data analysis," Temi di discussione (Economic working papers) 1083, Bank of Italy, Economic Research and International Relations Area.
More about this item
Keywordsextreme value theory; futures returns; risk management; Tail index;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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