Carmela Quintos

Simon School, University of Rochester

Rochester, NY 14627

United States

  • Simon School, University of Rochester

SCHOLARLY PAPERS

6

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852

SSRN CITATIONS
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Top 43,155

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1

CROSSREF CITATIONS

21

Scholarly Papers (6)

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1.

Estimating Tail Dependence and Testing for Contagion Using Tail Indices

Number of pages: 28 Posted: 27 Aug 2001
Carmela Quintos
Simon School, University of Rochester
Downloads 544 (99,350)
Citation 3

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Contagion, Extreme Value Theory, Extremal Correlation, Tail Dependence

2.

Structural Change Tests in Tail Behaviour and the Asian Crisis

NYU Working Paper No. SOR-99-2
Number of pages: 32 Posted: 31 Oct 2008
Carmela Quintos, Zhenhong Fan and Peter C. B. Phillips
Simon School, University of Rochester, New York University (NYU) and University of Auckland Business School
Downloads 159 (355,888)
Citation 2

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3.

Dating Breaks in the Extremal Behavior of Financial Time Series

Simon School of Business Working Paper No. FR 05-09
Number of pages: 40 Posted: 06 Apr 2004
Carmela Quintos
Simon School, University of Rochester
Downloads 149 (375,561)
Citation 2

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4.

Measuring Change in Tail Behavior

New York University SOR 99-2
Posted: 25 Jul 2000
Carmela Quintos, Zhenhong Fan and Peter C. B. Phillips
Simon School, University of Rochester, affiliation not provided to SSRN and University of Auckland Business School

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Extreme Value Theory, Hill's estimator, Structural Change, Tail estimation, Value at Risk

5.

Weak Instruments and Spurious Regressions

OLIN-97-08
Posted: 18 Nov 1997
Carmela Quintos
Simon School, University of Rochester

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6.

Fully Modified VAR Inference in Partially Nonstationary Models

OLIN-96-15
Posted: 01 Jul 1997
Carmela Quintos
Simon School, University of Rochester

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