Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes
Abstract
Accurate modeling of extreme price changes is vital to financial risk management. We examine the small sample properties of adaptive tail index estimators under the class of student-t marginal distribution functions including GARCH and propose a model-based bias-corrected estimation approach. Our simulation results indicate that bias strongly relates to the underlying model and may be positively as well as negatively signed. The empirical study...
Paper Details
Title
Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes
Published Date
Jan 1, 2003
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