Aloui, R. ; Aïssa, M.S.B. ; Nguyen, D.K. Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?. 2011 Journal of Banking & Finance. 35 130-141
- Beirlant, J. ; Dierckx, G. ; Goegebeur, Y. ; Matthys, G. Tail index estimation and an exponential regression model. 1999 Extremes. 2 177-200
Paper not yet in RePEc: Add citation now
- Cochrane, J.H. Asset pricing: (Revised edition). 2009 Princeton University Press:
Paper not yet in RePEc: Add citation now
Cox, J.C. ; Ingersoll, J.E. ; Ross, S.A. A theory of the term structure of interest rates. 1985 Econometrica. 53 385-407
- De Haan, L. ; Ferreira, A. Extreme value theory: An introduction. 2007 Springer Science & Business Media:
Paper not yet in RePEc: Add citation now
De Haan, L. ; Peng, L. Comparison of tail index estimators. 1998 Statistica Neerlandica. 52 60-70
- Deheuvels, P. ; Haeusler, E. ; Mason, D.M. Almost sure convergence of the Hill estimator. 1988 En : Mathematical proceedings of the Cambridge Philosophical Society. Cambridge University Press:
Paper not yet in RePEc: Add citation now
Dominicy, Y. ; Ilmonen, P. ; Veredas, D. Multivariate hill estimators. 2017 International Statistical Review. 85 108-142
Drees, H. ; Kaufmann, E. Selecting the optimal sample fraction in univariate extreme value estimation. 1998 Stochastic Processes and their Applications. 75 149-172
- Dumouchel, W.H. Estimating the stable index α in order to measure tail thickness: A critique. 1983 Annals of Statistics. 11 1019-1031
Paper not yet in RePEc: Add citation now
- ECB, Money market interest rates. 2012 En : ECB monthly bulletin. :
Paper not yet in RePEc: Add citation now
Fama, E.F. Mandelbrot and the stable Paretian hypothesis. 1963 The Journal of Business. 36 420-429
- Fendel, R. ; Neugebauer, F. Country-specific euro area government bond yield reactions to ECB’s non-standard monetary policy program announcements, forthcoming. 2019 German Economic Review. -
Paper not yet in RePEc: Add citation now
- Feuerverger, A. ; Hall, P. Estimating a tail exponent by modelling departure from a Pareto distribution. 1999 The Annals of Statistics. 27 760-781
Paper not yet in RePEc: Add citation now
Gabaix, X. ; Laibson, D. ; Moloche, G. ; Weinberg, S. Costly information acquisition: Experimental analysis of a boundedly rational model. 2006 American Economic Review. 96 1043-1068
Galbraith, J.W. ; Zernov, S. Circuit breakers and the tail index of equity returns. 2004 Journal of Financial Econometrics. 2 109-129
Gerlach, S. ; Lewis, J. Zero lower bound, ECB interest rate policy and the financial crisis. 2014 Empirical Economics. 46 865-886
Giannone, D. ; Lenza, M. ; Reichlin, L. Business cycles in the euro area (No. w14529). 2008 National Bureau of Economic Research:
Gibson, R. ; Lhabitant, F.S. ; Talay, D. Modeling the term structure of interest rates: A review of the literature. 2010 Foundations and Trends in Finance. 5 1-156
- Hill, B.M. A simple general approach to inference about the tail of a distribution. 1975 The Annals of Statistics. 3 1163-1173
Paper not yet in RePEc: Add citation now
- Hsing, T. On tail index estimation using dependent data. 1991 The Annals of Statistics. 1547-1569
Paper not yet in RePEc: Add citation now
Huisman, R. ; Koedijk, K.G. ; Kool, C.J.M. ; Palm, F. Tail-index estimates in small samples. 2001 Journal of Business & Economic Statistics. 19 208-216
Kearns, P. ; Pagan, A. Estimating the density tail index for financial time series. 1997 Review of Economics and Statistics. 79 171-175
Kelly, B. ; Jiang, H. Tail risk and asset prices. 2014 Review of Financial Studies. 27 2841-2871
- Koedijk, K.G. ; Schafgans, M.M.A. ; de Vries, C.G. The tail index of exchange rate returns. 1990 Journal of International Economics. 29 93-108
Paper not yet in RePEc: Add citation now
Koedijk, K.G. ; Stork, P.A. ; de Vries, C.G. Foreign exchange rate regime differences viewed from the tails. 1992 Journal of International Money and Finance. 11 462-473
- Longerstacey, J.P. ; Zangari, P. Five questions about RiskMetrics. 1995 JPMorgan Research Publication:
Paper not yet in RePEc: Add citation now
- Longstaff, F.A. ; Schwartz, E.S. A two-factor interest rate model and contingent claims valuation. 1992 The Journal of Fixed Income. 2 16-23
Paper not yet in RePEc: Add citation now
Longstaff, F.A. ; Schwartz, E.S. Interest rate volatility and the term structure: A two-factor general equilibrium model. 1992 The Journal of Finance. 47 1259-1282
- Mandelbrot, B. The variation of some other speculative prices. 1963 The Journal of Business. 40 393-413
Paper not yet in RePEc: Add citation now
- Matthys, G. ; Beirlant, J. Adaptive threshold selection in tail index estimation. 2000 En : Extremes and integrated risk management. :
Paper not yet in RePEc: Add citation now
Novosyolov, A. ; Satchkov, D. Global term structure modelling using principal component analysis. 2008 Journal of Asset Management. 9 49-60
Pagan, A.R. ; Schwert, G.W. Testing for covariance stationarity in stock market data. 1990 Economics Letters. 33 165-170
- Pelizzon, L. ; Subrahmanyam, M.G. ; Tomio, D. ; Uno, J. The microstructure of the European sovereign bond market: A study of the Euro-zone crisis. 2013 University of Venice, mimeo:
Paper not yet in RePEc: Add citation now
Quintos, C. ; Fan, Z. ; Phillips, P. Structural change tests in tail behaviour and the Asian crisis. 2001 Review of Economic Studies. 68 633-663
- Resnick, S. ; Stărică, C. Tail index estimation for dependent data. 1998 The Annals of Applied Probability. 8 1156-1183
Paper not yet in RePEc: Add citation now
Sill, K. The cyclical volatility of interest rates. 1996 Business Review. 15-29
Straetmans, S. ; Candelon, B. Long-term asset tail risks in developed and emerging markets. 2013 Journal of Banking & Finance. 37 1832-1844
Straetmans, S. ; Candelon, B. Testing for multiple regimes in the tail behavior of emerging currency returns. 2006 Journal of International Money and Finance. 25 1187-1205
Svensson, L.E. Estimating and interpreting forward interest rates: Sweden 1992–1994 (No. w4871). 1994 National Bureau of Economic Research:
Vasicek, O. An equilibrium characterization of the term structure. 1977 Journal of Financial Economics. 5 177-188
- Wagner, N. Estimating financial risk under time-varying extremal return behavior. 2003 OR Spectrum. 25 317-328
Paper not yet in RePEc: Add citation now
Werner, T. ; Upper, C. Time-variation in the tail behaviour of Bund futures returns (No. 2002, 25). 2002 Deutsche Bundesbank, Research Centre:
- Xiong, J.X. ; Idzorek, T.M. ; Ibbotson, R.G. Volatility versus tail risk: Which one is compensated in equity funds?. 2014 Journal of Portfolio Management. 40 112-121
Paper not yet in RePEc: Add citation now