Measuring tail thickness under GARCH and an application to extreme exchange rate changes

Journal of Empirical Finance

Volumn 12, Issue 1, 2005, Pages 165-185

  Wagner, Niklas ^a   Marsh, Terry A ^b  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Fat tails; Foreign exchange; GARCH; Hill estimator; Stationary marginal distribution; Tail index

Indexed keywords

EID: 12744280558     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2003.11.002     Document Type: Article

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