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The tail index of exchange rate returns

✍ Scribed by Kees G. Koedijk; Marcia M.A. Schafgans; Casper G. de Vries

Book ID
115979563
Publisher
Elsevier Science
Year
1990
Tongue
English
Weight
1004 KB
Volume
29
Category
Article
ISSN
0022-1996

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## Abstract Risk managers are often concerned about tail probabilities of asset return distributions, in particular the frequency and severity of extreme returns. In this article, we propose a model that integrates extreme value theory and point processes to model the frequency and severity of exch