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Stork, Ph.A.

(Philip Stork)


return estimate model measure distribution exchange index target result market value intervention sample indices fficient 1998 john wiley target zone coe fficients probability parameter tail index realignment correlation factor risk measures period koedijk analysis table equity regime journal fund indices process fund returns number getmansky proposition paper devaluatiekansen unobservable returns innovation &p 500 index exchange rate returns assumption downside risk measures scale estimation order tailed fundamental simulation statistic expectation study solution panel ems target zone svensson time model likelihood level function exchange rate observation downside tail case opzichte van example equation error exchange rate regimes unobservable autocorrelation economic devaluation krugman country … f † property




5 Most Recent Publications

Risk Measures for Autocorrelated Hedge Fund Returns (Research Paper)
Di Cesare, A. Stork, Ph.A. Vries, C.G. de
2011-05-02
An EMS target zone model in discrete time (Article)
Koedijk, C.G. Stork, Ph.A. Vries, C.G. de
1998-01-01
New evidence on the effectiveness of foreign exchange market intervention (Article)
Koedijk, C.G. Mizrach, B. Stork, Ph.A. Vries, C.G. de
1995-01-01
De geloofwaardigheid van het EMS (Article)
Koedijk, C.G. Stork, Ph.A. Vries, C.G. de
1993-01-01
Differences between foreign exchange rate regimes: the view from the tails (Article)
Koedijk, C.G. Stork, Ph.A. Vries, C.G. de
1992-01-01
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