Time variation in the tail behaviour of bund futures returns:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Frankfurt am Main
Dt. Bundesbank
2002
|
| Schriftenreihe: | Discussion paper / Economic Research Centre of the Deutsche Bundesbank
2002,25 |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 33 S. graph. Darst. |
| ISBN: | 3935821344 |
Internformat
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV016406402 | ||
| 003 | DE-604 | ||
| 005 | 20030122 | ||
| 007 | t | ||
| 008 | 030107s2002 d||| |||| 00||| eng d | ||
| 016 | 7 | |a 966058682 |2 DE-101 | |
| 020 | |a 3935821344 |9 3-935821-34-4 | ||
| 035 | |a (OCoLC)76477974 | ||
| 035 | |a (DE-599)BVBBV016406402 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-473 |a DE-N2 |a DE-20 |a DE-355 |a DE-12 |a DE-1047 |a DE-945 |a DE-703 |a DE-634 |a DE-521 |a DE-83 |a DE-11 |a DE-188 | ||
| 084 | |a QB 910 |0 (DE-625)141231: |2 rvk | ||
| 084 | |a QK 660 |0 (DE-625)141676: |2 rvk | ||
| 100 | 1 | |a Werner, Thomas |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Time variation in the tail behaviour of bund futures returns |c Thomas Werner ; Christian Upper |
| 264 | 1 | |a Frankfurt am Main |b Dt. Bundesbank |c 2002 | |
| 300 | |a 33 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Discussion paper / Economic Research Centre of the Deutsche Bundesbank |v 2002,25 | |
| 700 | 1 | |a Upper, Christian |e Verfasser |4 aut | |
| 810 | 2 | |a Economic Research Centre of the Deutsche Bundesbank |t Discussion paper |v 2002,25 |w (DE-604)BV013545109 |9 2002,25 | |
| 856 | 4 | 2 | |m DNB Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010148312&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
Datensatz im Suchindex
| _version_ | 1805068769886732288 |
|---|---|
| adam_text |
CONTENTS
1
INTRODUCTION
.
1
2
WHAT
ARE
HEAVY
TAILS?
.
3
3
ESTIMATING
AND
TESTING
THE
TAIL
INDEX
.
9
3.1
THE
HILL
ESTIMATOR
.
9
3.2
TESTING
FOR
STRUCTURAL
BREAKS
IN
THE
TAIL
BEHAVIOUR
.
12
4
DATA
.
12
5
EMPIRICAL
RESULTS
.
13
5.1
TAIL
ESTIMATES
.
13
5.2
STRUCTURAL
BREAK
IN
THE
TAIL
BEHAVIOUR
DURING
1998
AND
2001
.
16
5.3
THE
TAIL
INDEX
AS
A
RISK
INDICATOR
.
17
5.4
IMPLICATIONS
OF
THE
TAIL
BEHAVIOUR
ON
VALUE-AT-RISK
.
.
21
6
CONCLUSION
.
23 |
| any_adam_object | 1 |
| author | Werner, Thomas Upper, Christian |
| author_facet | Werner, Thomas Upper, Christian |
| author_role | aut aut |
| author_sort | Werner, Thomas |
| author_variant | t w tw c u cu |
| building | Verbundindex |
| bvnumber | BV016406402 |
| classification_rvk | QB 910 QK 660 |
| ctrlnum | (OCoLC)76477974 (DE-599)BVBBV016406402 |
| discipline | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>00000nam a2200000 cb4500</leader><controlfield tag="001">BV016406402</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20030122</controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">030107s2002 d||| |||| 00||| eng d</controlfield><datafield tag="016" ind1="7" ind2=" "><subfield code="a">966058682</subfield><subfield code="2">DE-101</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">3935821344</subfield><subfield code="9">3-935821-34-4</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)76477974</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV016406402</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-473</subfield><subfield code="a">DE-N2</subfield><subfield code="a">DE-20</subfield><subfield code="a">DE-355</subfield><subfield code="a">DE-12</subfield><subfield code="a">DE-1047</subfield><subfield code="a">DE-945</subfield><subfield code="a">DE-703</subfield><subfield code="a">DE-634</subfield><subfield code="a">DE-521</subfield><subfield code="a">DE-83</subfield><subfield code="a">DE-11</subfield><subfield code="a">DE-188</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QB 910</subfield><subfield code="0">(DE-625)141231:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 660</subfield><subfield code="0">(DE-625)141676:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Werner, Thomas</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Time variation in the tail behaviour of bund futures returns</subfield><subfield code="c">Thomas Werner ; Christian Upper</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Frankfurt am Main</subfield><subfield code="b">Dt. Bundesbank</subfield><subfield code="c">2002</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">33 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">Discussion paper / Economic Research Centre of the Deutsche Bundesbank</subfield><subfield code="v">2002,25</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Upper, Christian</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="810" ind1="2" ind2=" "><subfield code="a">Economic Research Centre of the Deutsche Bundesbank</subfield><subfield code="t">Discussion paper</subfield><subfield code="v">2002,25</subfield><subfield code="w">(DE-604)BV013545109</subfield><subfield code="9">2002,25</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">DNB Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010148312&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield></record></collection> |
| id | DE-604.BV016406402 |
| illustrated | Illustrated |
| indexdate | 2024-07-20T03:55:23Z |
| institution | BVB |
| isbn | 3935821344 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-010148312 |
| oclc_num | 76477974 |
| open_access_boolean | |
| owner | DE-473 DE-BY-UBG DE-N2 DE-20 DE-355 DE-BY-UBR DE-12 DE-1047 DE-945 DE-703 DE-634 DE-521 DE-83 DE-11 DE-188 |
| owner_facet | DE-473 DE-BY-UBG DE-N2 DE-20 DE-355 DE-BY-UBR DE-12 DE-1047 DE-945 DE-703 DE-634 DE-521 DE-83 DE-11 DE-188 |
| physical | 33 S. graph. Darst. |
| publishDate | 2002 |
| publishDateSearch | 2002 |
| publishDateSort | 2002 |
| publisher | Dt. Bundesbank |
| record_format | marc |
| series2 | Discussion paper / Economic Research Centre of the Deutsche Bundesbank |
| spelling | Werner, Thomas Verfasser aut Time variation in the tail behaviour of bund futures returns Thomas Werner ; Christian Upper Frankfurt am Main Dt. Bundesbank 2002 33 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Discussion paper / Economic Research Centre of the Deutsche Bundesbank 2002,25 Upper, Christian Verfasser aut Economic Research Centre of the Deutsche Bundesbank Discussion paper 2002,25 (DE-604)BV013545109 2002,25 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010148312&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Werner, Thomas Upper, Christian Time variation in the tail behaviour of bund futures returns |
| title | Time variation in the tail behaviour of bund futures returns |
| title_auth | Time variation in the tail behaviour of bund futures returns |
| title_exact_search | Time variation in the tail behaviour of bund futures returns |
| title_full | Time variation in the tail behaviour of bund futures returns Thomas Werner ; Christian Upper |
| title_fullStr | Time variation in the tail behaviour of bund futures returns Thomas Werner ; Christian Upper |
| title_full_unstemmed | Time variation in the tail behaviour of bund futures returns Thomas Werner ; Christian Upper |
| title_short | Time variation in the tail behaviour of bund futures returns |
| title_sort | time variation in the tail behaviour of bund futures returns |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010148312&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV013545109 |
| work_keys_str_mv | AT wernerthomas timevariationinthetailbehaviourofbundfuturesreturns AT upperchristian timevariationinthetailbehaviourofbundfuturesreturns |