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Overnight borrowing, interest rates and extreme value theory · Study

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ArticleOvernight borrowing, interest rates and extreme value theory

Ramazan Gençay A2005

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Articlegreen2005

Overnight borrowing, interest rates and extreme value theory

Ramazan Gençay A · Faruk Selçuk∥

41 citations·0/0 files stored·European Economic Review

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Banking stability, regulation, efficiency Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

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References

1997The variation of certain speculative prices 2000Fear of Floating 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 1974Residual Life Time at Great Age 2001An Introduction to High-Frequency Finance 1997Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory 2007Statistical Analysis of Extreme Values 1994Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets

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2011Value-at-risk estimation with wavelet-based extreme value theory: Evidence from emerging markets 2009Heavy tails and currency crises 2010Value‐at‐risk 2006The dynamics of a newly floating exchange rate: the Turkish case

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Year2005

Typearticle

Published2005-02-24

VenueEuropean Economic Review

ISSN-L0014-2921

Languageen

Citations41

Files0 public / 0

ShelfBanking stability, regulation, efficiency

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doi10.1016/j.euroecorev.2004.10.010

openalex_workW3124306702

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