Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes
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More about this item
Keywordsfat tails; tail index; stationary marginal distribution; GARCH; Hill estimator; foreign exchange;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- F31 - International Economics - - International Finance - - - Foreign Exchange
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-02-01 (All new papers)
- NEP-ECM-2004-02-01 (Econometrics)
- NEP-ETS-2004-02-01 (Econometric Time Series)
- NEP-FIN-2004-02-01 (Finance)
- NEP-FMK-2004-02-01 (Financial Markets)
- NEP-IFN-2004-02-01 (International Finance)
- NEP-RMG-2004-02-01 (Risk Management)
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