Time variation in the tail behaviour of bund futures returns /

Time variation in the tail behaviour of bund futures returns /

Bibliographic Details
Main Author: Werner, Thomas
Other Authors: Upper, Christian
Format: Book
Published: Frankfurt Deutsche Bundesbank 2002
Series:Discussion paper (Deutsche Bundesbank) Series 1: Studies of the Economic Research Centre
Subjects:
BONOS
ANALISIS ECONOMETRICO
RIESGO FINANCIERO
Online Access:http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2002/2002_12_03_dkp_25.pdf?__blob=publicationFile

MARC

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505 0 |a 1. Introduction -- 2. What are heavy tails? -- 3. Estimating and testing the tail index -- 4. Data -- 5. Empirical results -- Conclusions. 
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