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Testing for differences in the tails of stock-market returns

, and . Journal of Empirical Finance, 10 (5): 559--581 (December 2003)

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Financial modeling under non-gaussian distributions, , and . Springer Finance Springer, (2007)Entropy densities with an application to autoregressive conditional skewness and kurtosis, and . Journal of Econometrics, 106 (1): 119--142 (January 2002)Asymmetry in tail dependence in equity portfolios.. Comput. Stat. Data Anal., (2016)Reading PIBOR futures options smiles: The 1997 snap election, , and . Journal of Banking & Finance, 25 (11): 1957--1987 (November 2001)Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements, and . Journal of Economic Dynamics and Control, 27 (10): 1699--1737 (August 2003)Reading the smile: the message conveyed by methods which infer risk neutral densities, and . Journal of International Money and Finance, 19 (6): 885--915 (December 2000)Testing for differences in the tails of stock-market returns, and . Journal of Empirical Finance, 10 (5): 559--581 (December 2003)The Copula-GARCH model of conditional dependencies: An international stock market application, and . Journal of International Money and Finance, 25 (5): 827--853 (August 2006)Testing for the New Keynesian Phillips Curve. Additional international evidence, and . Economic Modelling, 22 (3): 521--550 (May 2005)The expectations hypothesis of the term structure: tests on US, German, French, and UK Euro-rates, and . Journal of International Money and Finance, 18 (5): 725--750 (October 1999)