The limiting distribution of extremal exchange rate returns

DOI10.1002/jae.3950060306zbMath0735.62109MaRDI QIDQ3984289

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

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 statistics; limit law; fat-tailed distributions; extremal distribution; exchange rate returns; bounds on the returns

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62E20: Asymptotic distribution theory in statistics

62G05: Nonparametric estimation

Related Items

A robust prediction error criterion for pareto modelling of upper tails, High volatility, thick tails and extreme value theory in value-at-risk estimation., A simple estimator for the characteristic exponent of the stable Paretian distribution, Testing the stable Paretian assumption, Long memory processes and fractional integration in econometrics, Strong orthogonal decompositions and non-linear impulse response functions for infinite-variance processes, A tail estimator for the index of the stable paretian distribution^∗

Cites Work

• Unnamed Item
• Unnamed Item
• Best attainable rates of convergence for estimates of parameters of regular variation
• Estimating the stable index \(\alpha\) in order to measure tail thickness: a critique
• On the estimation of the extreme-value index and large quantile estimation
• Extremes and related properties of random sequences and processes
• Estimating tails of probability distributions
• On limiting distributions of intermediate order statistics from stationary sequences
• Laws of large numbers for sums of extreme values
• Random difference equations and renewal theory for products of random matrices
• Statistical inference using extreme order statistics
• A simple general approach to inference about the tail of a distribution
• Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
• SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS
• Sample extremes: an elementary introduction
• Time Series Regression with a Unit Root
• Safety First and the Holding of Assets