Testing for tail breaks in currency returns

Detalhes bibliográficos
Autor(a) principal: Lima, Mariana Cartaxo
Data de Publicação: 2016
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/16800
Resumo: In this work project we study the tail properties of currency returns and analyze whether changes in the tail indices of these series have occurred over time as a consequence of turbulent periods. Our analysis is based on the methods introduced by Quintos, Fan and Phillips (2001), Candelon and Straetmans (2006, 2013), and their extensions. Specifically, considering a sample of daily data from December 31, 1993 to February 13, 2015 we apply the recursive test in calendar time (forward test) and in reverse calendar time (backward test) and indeed detect falls and rises in the tail indices, signifying increases and decreases in the probability of extreme events.
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spelling Testing for tail breaks in currency returnsHeavy tailsTail indexTail breaksExchange ratesDomínio/Área Científica::Ciências Sociais::Economia e GestãoIn this work project we study the tail properties of currency returns and analyze whether changes in the tail indices of these series have occurred over time as a consequence of turbulent periods. Our analysis is based on the methods introduced by Quintos, Fan and Phillips (2001), Candelon and Straetmans (2006, 2013), and their extensions. Specifically, considering a sample of daily data from December 31, 1993 to February 13, 2015 we apply the recursive test in calendar time (forward test) and in reverse calendar time (backward test) and indeed detect falls and rises in the tail indices, signifying increases and decreases in the probability of extreme events.Rodrigues, Paulo Manuel MarquesRUNLima, Mariana Cartaxo2016-03-15T15:40:16Z2016-012016-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/16800TID:201529394enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:54:02Zoai:run.unl.pt:10362/16800Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:23:31.400547Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Testing for tail breaks in currency returns
title Testing for tail breaks in currency returns
spellingShingle Testing for tail breaks in currency returns
Lima, Mariana Cartaxo
Heavy tails
Tail index
Tail breaks
Exchange rates
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Testing for tail breaks in currency returns
title_full Testing for tail breaks in currency returns
title_fullStr Testing for tail breaks in currency returns
title_full_unstemmed Testing for tail breaks in currency returns
title_sort Testing for tail breaks in currency returns
author Lima, Mariana Cartaxo
author_facet Lima, Mariana Cartaxo
author_role author
dc.contributor.none.fl_str_mv Rodrigues, Paulo Manuel Marques
RUN
dc.contributor.author.fl_str_mv Lima, Mariana Cartaxo
dc.subject.por.fl_str_mv Heavy tails
Tail index
Tail breaks
Exchange rates
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Heavy tails
Tail index
Tail breaks
Exchange rates
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description In this work project we study the tail properties of currency returns and analyze whether changes in the tail indices of these series have occurred over time as a consequence of turbulent periods. Our analysis is based on the methods introduced by Quintos, Fan and Phillips (2001), Candelon and Straetmans (2006, 2013), and their extensions. Specifically, considering a sample of daily data from December 31, 1993 to February 13, 2015 we apply the recursive test in calendar time (forward test) and in reverse calendar time (backward test) and indeed detect falls and rises in the tail indices, signifying increases and decreases in the probability of extreme events.
publishDate 2016
dc.date.none.fl_str_mv 2016-03-15T15:40:16Z
2016-01
2016-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/16800
TID:201529394
url http://hdl.handle.net/10362/16800
identifier_str_mv TID:201529394
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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