The tail index of exchange rate returns

This publication has 11 references indexed in Scilit:

• Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes
  Stochastic Processes and their Applications, 1989
• Testing for bubbles, reflecting barriers and other anomalies
  Journal of Economic Dynamics and Control, 1988
• The statistical distribution of exchange rates: Empirical evidence and economic implications
  Journal of International Economics, 1987
• SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS
  The Quarterly Journal of Mathematics, 1987
• Collapsing exchange-rate regimes
  Journal of International Economics, 1984
• Laws of Large Numbers for Sums of Extreme Values
  The Annals of Probability, 1982
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
  Econometrica, 1982
• Sample extremes: an elementary introduction
  Statistica Neerlandica, 1976
• A Simple General Approach to Inference About the Tail of a Distribution
  The Annals of Statistics, 1975
• Parameter Estimates for Symmetric Stable Distributions
  Journal of the American Statistical Association, 1971