Title of article
Measuring tail thickness under GARCH and an application to extreme exchange rate changes
Author/Authors
Niklas Wagner، نويسنده , , Terry A. Marsh، نويسنده ,
Issue Information
دوماهنامه با شماره پیاپی سال 2005
Pages
21
From page
165
To page
185
Keywords
GARCH , Fat tails , Hill estimator , Foreign exchange , Stationary marginal distribution , Tail index
Journal title
Journal of Empirical Finance
Serial Year
2005
Journal title
Journal of Empirical Finance
Record number
130794
Link To Document