An analysis of extreme movements of exchange rates of the main currencies traded in the foreign exchange market

Applied Economics

Volumn 44, Issue 35, 2012, Pages 4631-4637

  Iglesias, Emma M ^a  

^a UNIVERSITY OF A CORUÑA   (Spain)

Author keywords

Exchange rates; Extreme value theory; GARCH type models; Heavy tails; Pareto tail thickness parameter; Value at risk

Indexed keywords

CURRENCY; ECONOMIC ANALYSIS; EXCHANGE RATE; FINANCIAL MARKET; RISK ASSESSMENT;

EID: 80052054626     PISSN: 00036846     EISSN: 14664283     Source Type: Journal    
DOI: 10.1080/00036846.2011.593501     Document Type: Article

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