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

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Bibliographische Detailangaben
Veröffentlicht in:Journal of empirical finance
1. Verfasser: Wagner, Niklas F. (VerfasserIn)
Weitere Verfasser: Marsh, Terry Alan (VerfasserIn)
Format: UnknownFormat
Sprache:eng
Veröffentlicht: 2005
Schlagworte:
Wechselkurs > Schätztheorie > ARCH-Modell > Theorie > Statistische Verteilung > Aufsatz in Zeitschrift
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