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

✍ Scribed by Niklas Wagner; Terry A. Marsh

• Book ID: 116641533
• Publisher: Elsevier Science
• Year: 2005
• Tongue: English
• Weight: 265 KB
• Volume: 12
• Category: Article
• ISSN: 0927-5398
• DOI: 10.1016/j.jempfin.2003.11.002