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ArticleHeavy tails and currency crises

Stefan T.M. Straetmans2009

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Articlegreen2009

Heavy tails and currency crises

Stefan T.M. Straetmans · Casper G. de Vries

30 citations·0/0 files stored·Journal of Empirical Finance

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Global Financial Crisis and Policies Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1983Bank Runs, Deposit Insurance, and Liquidity 1976The arbitrage theory of capital asset pricing 1963The Variation of Certain Speculative Prices 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 1997The variation of certain speculative prices 1979A Model of Balance-of-Payments Crises 2002Asymmetric correlations of equity portfolios

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2013The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate 2017Estimating Systematic Risk under Extremely Adverse Market Conditions*

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Year2009

Typearticle

Published2009-09-27

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations30

Files0 public / 0

ShelfGlobal Financial Crisis and Policies

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doi10.1016/j.jempfin.2009.09.004

openalex_workW1985998019

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