Author of the publication

Overnight borrowing, interest rates and extreme value theory

, and . European Economic Review, 50 (3): 547--563 (April 2006)

Please choose a person to relate this publication to

To differ between persons with the same name, the academic degree and the title of an important publication will be displayed. You can also use the button next to the name to display some publications already assigned to the person.

 

Other publications of authors with the same name

Foreign exchange trading models and market behavior, , , and . Journal of Economic Dynamics and Control, 27 (6): 909--935 (April 2003)Statistical properties of genetic learning in a model of exchange rate, and . Journal of Economic Dynamics and Control, 24 (5-7): 981--1005 (June 2000)Effective return, risk aversion and drawdowns, , , and . Physica A: Statistical Mechanics and its Applications, 289 (1-2): 229--248 (Jan 1, 2001)Scaling, self-similarity and multifractality in FX markets, and . Physica A: Statistical Mechanics and its Applications, (May 15, 2003)Exploring exchange rate returns at different time horizons, , and . Physica A: Statistical Mechanics and its Applications, 313 (3-4): 671--682 (Oct 15, 2002)Differentiating intraday seasonalities through wavelet multi-scaling, , and . Physica A: Statistical Mechanics and its Applications, 289 (3-4): 543--556 (Jan 15, 2001)Scaling properties of foreign exchange volatility, , and . Physica A: Statistical Mechanics and its Applications, 289 (1-2): 249--266 (Jan 1, 2001)The predictability of security returns with simple technical trading rules. Journal of Empirical Finance, 5 (4): 347--359 (October 1998)Overnight borrowing, interest rates and extreme value theory, and . European Economic Review, 50 (3): 547--563 (April 2006)Extreme value theory and Value-at-Risk: Relative performance in emerging markets, and . International Journal of Forecasting, 20 (2): 287--303 (00 2004)