Disturbing extremal behavior of spot rate dynamics

Journal of Empirical Finance

Volumn 10, Issue 4, 2003, Pages 455-477

  Bali, Turan G ^a   Neftci, Salih N ^b  

^a CITY UNIVERSITY OF NEW YORK   (United States)

^b CITY UNIVERSITY OF NEW YORK   (United States)

Author keywords

Extreme value theory; Interest rates; Value at risk; Volatility

Indexed keywords

EID: 0038182647     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(02)00070-1     Document Type: Article

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