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On Adaptive Tail Index Estimation for Financial Return Models

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  • Niklas Wagner and Terry Marsh.
Abstract
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Suggested Citation

  • Niklas Wagner and Terry Marsh., 2000. "On Adaptive Tail Index Estimation for Financial Return Models," Research Program in Finance Working Papers RPF-295, University of California at Berkeley.
    • Handle: RePEc:ucb:calbrf:rpf-295
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    Cited by:

    1. Fasika Damte Haile & Susan Pozo, 2006. "Exchange Rate Regimes and Currency Crises: an Evaluation using Extreme Value Theory," Review of International Economics, Wiley Blackwell, vol. 14(4), pages 554-570, September.
    2. Wagner, Niklas & Marsh, Terry A., 2005. "Measuring tail thickness under GARCH and an application to extreme exchange rate changes," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 165-185, January.
    3. Mohammad Karimi & Marcel Voia, 2015. "Identifying extreme values of exchange market pressure," Empirical Economics, Springer, vol. 48(3), pages 1055-1078, May.
    4. Haile, Fasika & Pozo, Susan, 2008. "Currency crisis contagion and the identification of transmission channels," International Review of Economics & Finance, Elsevier, vol. 17(4), pages 572-588, October.

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