Time Variation in the Tail Behaviour of Bund Futures Returns

40 Pages Posted: 8 Jun 2016

See all articles by Thomas Werner

Thomas Werner

European Central Bank (ECB)

Christian Upper

Bank for International Settlements (BIS)

Date Written: 2002

Abstract

The literature on the tail behaviour of asset prices focuses mainly on the

Die Literatur über Extreme der Renditeverteilung hat sich bisher überwiegend

Suggested Citation

Werner, Thomas and Upper, Christian, Time Variation in the Tail Behaviour of Bund Futures Returns (2002). Bundesbank Series 1 Discussion Paper No. 2002,25, Available at SSRN: https://ssrn.com/abstract=2785161

Thomas Werner

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Christian Upper (Contact Author)

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

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