Capturing fat-tail risk in exchange rate returns using SU curves: a comparison with the normal mixture and skewed Student distributions

The Journal of Risk ◽

10.21314/jor.2007.163 ◽

2007 ◽

Vol 10 (2) ◽

pp. 73-100 ◽

Author(s):

Pedro Gurrola

Keyword(s):

Exchange Rate ◽

Normal Mixture ◽

Tail Risk ◽

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Fat Tail Risk in Portfolios of Hedge Funds and Traditional Investments

SSRN Electronic Journal ◽

10.2139/ssrn.492643 ◽

2004 ◽

Author(s):

Jean-Francois Bacmann ◽

Gregor Gawron

Keyword(s):

Hedge Funds ◽

Tail Risk ◽

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Normal Mixture GARCH(1,1): Applications to Exchange Rate Modelling

SSRN Electronic Journal ◽

10.2139/ssrn.557362 ◽

2004 ◽

Author(s):

Carol Alexander ◽

Emese Lazar

Keyword(s):

Exchange Rate ◽

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Normal mixture GARCH(1,1): applications to exchange rate modelling

Journal of Applied Econometrics ◽

10.1002/jae.849 ◽

2006 ◽

Vol 21 (3) ◽

pp. 307-336 ◽

Author(s):

Carol Alexander ◽

Emese Lazar

Keyword(s):

Exchange Rate ◽

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VAR and Stress Tests: The Impact of Fat-Tail Risk and Systemic Risk on Commercial Banks in Hong Kong and China

SSRN Electronic Journal ◽

10.2139/ssrn.2996297 ◽

2017 ◽

Author(s):

Jacky Yuk-chow So ◽

Tony U

Keyword(s):

Hong Kong ◽

Systemic Risk ◽

Commercial Banks ◽

Stress Tests ◽

Tail Risk ◽

Fat Tail ◽

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Study and Analysis of Fat-Tail Risk and Other Statistical Properties of Indian Stock Market

International Journal of Research in Business and Technology ◽

10.17722/ijrbt.v2i2.52 ◽

2013 ◽

Vol 2 (2) ◽

Author(s):

Jyoti Badge

Keyword(s):

Stock Market ◽

Statistical Properties ◽

Tail Risk ◽

Fat Tail ◽

Indian Stock Market

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Forecasting of foreign exchange rate by normal mixture models

Journal of Economic Studies ◽

10.1108/01443589510076089 ◽

1995 ◽

Vol 22 (1) ◽

pp. 45-57 ◽

Author(s):

Chulho Jung

Keyword(s):

Exchange Rate ◽

Mixture Models ◽

Foreign Exchange ◽

Foreign Exchange Rate ◽

Normal Mixture ◽

Normal Mixture Models

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Exchange Rate Volatility, Trade, and Capital Flows under Alternative Exchange Rate Regimes

10.1017/cbo9780511549281 ◽

2000 ◽

Author(s):

Piet Sercu ◽

Raman Uppal

Keyword(s):

Exchange Rate ◽

Capital Flows ◽

Exchange Rate Regimes ◽

Exchange Rate Volatility

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Exchange Rate Parity for Trade and Development

10.1017/cbo9780511549212 ◽

1995 ◽

Author(s):

Pan A. Yotopoulos

Keyword(s):

Exchange Rate ◽

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Exchange Rate Forecasting

10.1057/9780230379008 ◽

2000 ◽

Author(s):

Imad A. Moosa

Keyword(s):

Exchange Rate ◽

Exchange Rate Forecasting

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Exchange Rate Policies, Prices and Supply-Side Response

10.1057/9780230554535 ◽

2001 ◽

Keyword(s):

Exchange Rate ◽

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