Working Paper


John Cotter



tail behaviour extreme value theory foreign exchange econometric models g15 garch f31 international finance econometric models euro

Tail behaviour of the Euro (2004)

Abstract This paper empirically analyses risk in the Euro relative to other currencies.Comparisons are made between a sub period encompassing the final transitional stageto full monetary union with a sub period prior to this. Stability in the face ofspeculative attack is examined using Extreme Value Theory to obtain estimates of tail exchange rate changes. The findings are encouraging. The Euro’s common risk measures do not deviate substantially from other currencies. Also, the Euro is stablein the face of speculative pressure. For example, the findings consistently show theEuro being less risky than the Yen, and having similar inherent risk to the DeutscheMark, the currency that it is essentially replacing.
Collections Ireland -> University College Dublin -> School of Business
Ireland -> University College Dublin -> Centre for Financial Markets Working Papers
Ireland -> University College Dublin -> College of Business

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John Cotter

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John Cotter
University College Dublin
Total Publications: 93