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Testing for multiple regimes in the tail behavior of emerging currency returns · Study

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ArticleTesting for multiple regimes in the tail behavior of emerging currency returns

Bertrand Candelon2006

Article2006

Testing for multiple regimes in the tail behavior of emerging currency returns

Bertrand Candelon · Stefan T.M. Straetmans

34 citations·0/0 files stored·Journal of International Money and Finance

No readable copy stored yet — this record is metadata only.

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

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 34 citations exist upstream.

References

1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1997Modelling Extremal Events 1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1982On Some Simple Estimates of an Exponent of Regular Variation 1996The Asymptotic Distribution of Extreme Stock Market Returns 2001Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation

Cited by

2006Mean Reversion of Short-run Interest Rates in Emerging Countries*

Details

Year2006

Typearticle

Published2006-10-24

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations34

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.jimonfin.2006.08.008

openalex_workW2153476573

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