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Overnight borrowing, interest rates and extreme value theory
16 references·5 citing·34 second hop
Overnight borrowing, interest rates and extreme value theory (2005)Overnight borrowing, interest rates and e…Statistical Analysis of Extreme Values (2007)Statistical Analysis of Extre…Laws of Small Numbers: Extremes and Rare Events (2004)Laws of Small Numbers: Extrem…Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)Extreme value theory and Valu…Exchange Rate Regimes: Is the Bipolar View Correct? (2001)Exchange Rate Regimes: Is the…An Introduction to High-Frequency Finance (2001)An Introduction to High-Frequ…From value at risk to stress testing: The extreme value approach (2000)From value at risk to stress …Fear of Floating (2000)Fear of FloatingEstimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Extreme Value Theory as a Risk Management Tool (1999)Extreme Value Theory as a Ris…The variation of certain speculative prices (1997)The variation of certain spec…Tail index and quantile estimation with very high frequency data (1997)Tail index and quantile estim…Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)Estimating the Tails of Loss …The Asymptotic Distribution of Extreme Stock Market Returns (1996)The Asymptotic Distribution o…Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets (1994)Testing the covariance statio…On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1989)On the Frequency of Large Sto…Residual Life Time at Great Age (1974)Residual Life Time at Great A…Extreme Value Theory for Finance: A Survey (2012)Extreme Value Theory for Fina…Value-at-risk estimation with wavelet-based extreme value theory: Evidence from emerging markets (2011)Value-at-risk estimation with…Value‐at‐risk (2010)Value‐at‐riskHeavy tails and currency crises (2009)Heavy tails and currency cris…The dynamics of a newly floating exchange rate: the Turkish case (2006)The dynamics of a newly float…An Introduction to Statistical Modeling of Extreme Values (2001)Stochastic Dynamics of Marine Structures (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)Scaling of the distribution of price fluctuations of individual companies (1999)ARCH modeling in finance (1992)Modelling of extremal events in insurance and finance (1994)Coherent Measures of Risk (1999)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Inference for Clusters of Extreme Values (2003)Models for Exceedances Over High Thresholds (1990)Heavy tail modeling and teletraffic data: special invited paper (1997)Modelling Extremal Events (1997)A Theory of Optimum Currency Areas (1961)The Optimal Degree of Commitment to an Intermediate Monetary Target (1985)Staggered Prices in a Utility-Maximizing Framework (1996)Distinguished Lecture on Economics in Government—Exchange Rate Regimes: Is the Bipolar View Correct? (2001)The Trilemma in History: Tradeoffs Among Exchange Rates, Monetary Policies, and Capital Mobility (2004)Stories of the Twentieth Century for the Twenty-First (2012)Measuring Market Risk (2005)An Application of Extreme Value Theory for Measuring Financial Risk (2006)Social physics (2022)Extreme Correlation of International Equity Markets (2001)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Microstructure noise in the continuous case: The pre-averaging approach (2008)Realized kernels in practice: trades and quotes (2009)
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References

  • 1997The variation of certain speculative prices4,468 cited
  • 2000Fear of Floating2,063 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 1974Residual Life Time at Great Age1,484 cited
  • 2001An Introduction to High-Frequency Finance956 cited
  • 1997Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory543 cited
  • 2007Statistical Analysis of Extreme Values523 cited
  • 1994Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets517 cited
  • 2000From value at risk to stress testing: The extreme value approach517 cited
  • 1996The Asymptotic Distribution of Extreme Stock Market Returns510 cited
  • 1999Extreme Value Theory as a Risk Management Tool465 cited
  • 1989On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective425 cited
  • 2004Extreme value theory and Value-at-Risk: Relative performance in emerging markets420 cited
  • 2004Laws of Small Numbers: Extremes and Rare Events329 cited
  • 2001Exchange Rate Regimes: Is the Bipolar View Correct?

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323 cited
  • 1997Tail index and quantile estimation with very high frequency data313 cited
  • Cited by

    • 2011Value-at-risk estimation with wavelet-based extreme value theory: Evidence from emerging markets40 cited
    • 2012Extreme Value Theory for Finance: A Survey37 cited
    • 2009Heavy tails and currency crises30 cited
    • 2010Value‐at‐risk27 cited
    • 2006The dynamics of a newly floating exchange rate: the Turkish case17 cited