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Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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Hedge Funds, Financial Stability
Financial crises, systemic risk, contagion, market crashes, flight to quality, bivariate extreme value analysis, extreme co-movements
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP2916.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Financial conglomerates, Banking, Insurance, Diversification, Extreme Value Theory
Diversification, Value-at-Risk, Decomposition
diversification, portfolio decomposition, value-at-risk
Auctions, contests, litigation, fee-shifting
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: ecoj.
hedge funds, serial correlation, systemic risk, VaR, Pareto distribution
Hedge funds, Serial correlation,Systemic risk, VaR, Pareto distribution
Banking, Systemic Risk, Asymptotic Dependence, Multivariate Extreme Value Theory, Structural Change Tests
Credit rationing, Credit Value-at-Risk, asymmetric information, banks, regulation, loans
saving and investment, pension funds, private pensions, social security and public pensions, financial institutions
Saving and Investment, Pension funds, Private pensions, Social security and public pensions, Financial institutions
Safety first, heavy tails, portfolio diversification
exchange rates, market efficiency, forward premium puzzle, uncovered interest parity, futures rates
Financial crises, currency market linkages, fundamentals, heavy tails, asymptotic dependence
File name: SSRN-id541022.
Exchange Rate Regime, Growth, EMU, CEECs
Extreme Value Theory, Hypothesis Testing, Tail Index, Tail Risk
Equity Premium Puzzle, Jackknife, Pooling
Heavy-tail distribution, safety-first utility, asset pricing
Auctions, numerous bidders, extreme values, internet auctions
Exchange rates, Exchange rate regimes, Excess volatility
Portfolio diversification, downside risk, heavy tails
Equity premium puzzle, Jackknife, Pooling
forward premium puzzle, futures rates, latent factor
File name: DP7772.
bids as records, number of active bidders
expectations hypothesis, term structure, time-varying risk premia, segmented markets, inflation
Expectations hypothesis, Term structure, Time-Varying Risk Premia, Segmented markets, Inflation
agricultural commodities, extreme value theory, heavy tails, risk management
Hedge funds, Serial correlation, Systemic risk, VaR, Pareto distribution
Linearization, ARCH Process, Real Business Cycles Model, Stochastic Difference Equation
File name: ecoj.
File name: SSRN-id501561.
Worst-case analysis, EVT, quantile estimator, risk management
Wage Indexation, Monetary Policy
Hill estimator, Heavy tails, Optimal extreme sample fraction
Australia, banking, contagion risk
exchnage rate regime, tails, distribution
official intervention, target zones
EMS currencies, fat tails, realignment probability
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