The limiting distribution of extremal exchange rate returns

DOI10.1002/JAE.3950060306zbMath0735.62109OpenAlexW2141918957MaRDI QIDQ3984289

Martien C. A. B. Hols, Casper G. de Vries

Publication date: 27 June 1992

Published in: Journal of Applied Econometrics (Search for Journal in Brave)

Full work available at URL: http://repub.eur.nl/pub/12428

zbMATH Keywords

order statisticslimit lawfat-tailed distributionsextremal distributionexchange rate returnsbounds on the returns

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05)

Related Items (10)

A note on power-law cross-correlated processes ⋮ A robust prediction error criterion for pareto modelling of upper tails ⋮ Long memory processes and fractional integration in econometrics ⋮ Testing for covariance stationarity in stock market data ⋮ Subsampling the distribution of diverging statistics with applications to finance ⋮ High volatility, thick tails and extreme value theory in value-at-risk estimation. ⋮ A tail estimator for the index of the stable paretian distribution^∗ ⋮ Strong orthogonal decompositions and non-linear impulse response functions for infinite-variance processes ⋮ A simple estimator for the characteristic exponent of the stable Paretian distribution ⋮ Testing the stable Paretian assumption

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