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Autoregressive conditional tail behavior and results on Government bond yield spreads · Study

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ArticleAutoregressive conditional tail behavior and results on Government bond yield spreads

Niklas F. Wagner2004

OA

Articlegreen2004

Autoregressive conditional tail behavior and results on Government bond yield spreads

Niklas F. Wagner

20 citations·0/0 files stored·International Review of Financial Analysis

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Probability and Risk Models

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References

2001An Introduction to Statistical Modeling of Extreme Values 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1994Modelling of extremal events in insurance and finance 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 1996Statistical aspects of ARCH and stochastic volatility 1989Extreme Value Analysis of Environmental Time Series: An Application to Trend Detection in Ground-Level Ozone 1996The Asymptotic Distribution of Extreme Stock Market Returns

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Year2004

Typearticle

Published2004-07-24

VenueInternational Review of Financial Analysis

ISSN-L1057-5219

Languageen

Citations20

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.irfa.2004.06.013

openalex_workW3123870109

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