Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes

By Niklas Wagner, Terry A. Marsh. 2003

55 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9cf9bd0a15f68fefe3fe3848fa6483d7df929e36

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Velayoudoum Marimoutou
2. Abdelwahed Trabelsi
3. Bechir Raggad

In Finance

1. Velayoudoum Marimoutou
2. Abdelwahed Trabelsi
3. Bechir Raggad

Citations in the corpus

• Extreme Value Theory and Value at Risk : Application to Oil Market (2009, methodology): “We take the parameterization used by Wagner and Marsh (2004).”