The tail index of exchange rate returns

Journal of International Economics

Volumn 29, Issue 1-2, 1990, Pages 93-108

  Koedijk, Kees G ^a   Schafgans, Marcia M A ^b   de Vries, Casper G ^c  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

^b WORLD BANK   (United States)

^c UNIVERSITY OF LEUVEN   (Belgium)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0002720658     PISSN: 00221996     EISSN: None     Source Type: Journal    
DOI: 10.1016/0022-1996(90)90065-T     Document Type: Article

References (18)

1. The statistical distribution of exchange rates: Empirical evidence and economic implications
2. Testing for bubbles, reflecting barriers and other anomalies
3. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
4. Parameter Estimates for Symmetric Stable Distributions
5. Collapsing exchange-rate regimes
6. Slow variation with remainder: Theory and applications
7. Sample extremes: an elementary introduction
8. Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes
9. A Simple General Approach to Inference About the Tail of a Distribution
10. Laws of Large Numbers for Sums of Extreme Values
11. Conditional logit analysis of qualitative choice behavior
12. Regularity conditions for Cox's test of non-nested hypotheses