Long run peso/dollar exchange rates and extreme value behavior: Value at Risk modeling

Author:

de Jesús Raúl,Ortiz Edgar,Cabello Alejandra

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference37 articles.

1. Extreme returns and the Contagion effect between the foreign exchange rate and the stock market: Evidence from Cyprus;Bekiros;Applied Financial Economics,2008

2. Bensalah, Y. (2000). Steps in applying extreme value theory to finance: A review. Working Papers, 00-20, Bank of Canada.

3. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986

4. Investigation of nonstationary price;Boness;Journal of Business,1974

5. Financial risk evaluations in Malaysian stock exchange using extreme-value-theory and component—ARCH Model;Cheong;Sains Malasiana,2009

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