Testing for multiple regimes in the tail behavior of emerging currency returns

It is by now generally accepted that foreign exchange returns exhibit “heavy tails” as measured by the so-called tail index. However, it is unclear whether the tail behavior remains stationary in the presence of recurrent switches in the exchange rate regime. We therefore test the null hypothesis of...

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Veröffentlicht in:	Journal of international money and finance 2006-11, Vol.25 (7), p.1187-1205
Hauptverfasser:	Candelon, Bertrand, Straetmans, Stefan
Format:	Artikel
Sprache:	eng
Schlagworte:	Capital returns Currency market Exchange rate policy Exchange rate regimes Extreme value analysis Foreign exchange Foreign exchange rates International finance Significance tests Statistical methods Structural breaks Studies Tail index Time series Value analysis
Online-Zugang:	Volltext
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