Measuring tail thickness under GARCH and an application to extreme exchange rate changes
| Year of publication: |
2005
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|---|---|
| Authors: | Wagner, Niklas ; Marsh, Terry A. |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 11582637. - Vol. 12.2005, 1, p. 165-186
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