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The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets

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Author Info
Michel M. Dacorogna,
Ulrich A. Muller
Olivier V. Pictet
Casper De Vries,

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Paper provided by Olsen and Associates in its series Working Papers with number 1992-10-22.

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Handle: RePEc:wop:olaswp:_012

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  1. Niklas Wagner & Terry Marsh, 2003. "Measuring Tail Thickness under GARCH and an Application to Extremal Exchange Rate Changes," Research Program in Finance, Working Paper Series 1012, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley. [Downloadable!]
    Other versions:
  2. Niklas Wagner & Terry Marsh, 2000. "On Adaptive Tail Index Estimation for Financial Return Models," Research Program in Finance, Working Paper Series 1000, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley. [Downloadable!]
    Other versions:
  3. Jón Daníelsson & Casper G. de Vries, 1998. "Value-at-Risk and Extreme Returns," Tinbergen Institute Discussion Papers 98-017/2, Tinbergen Institute. [Downloadable!]
  4. P. Bossaerts & C. Hafner & W. H"Ardle, . "Foreign Exchange Rates Have Surprising Volatility," Sonderforschungsbereich 373 1996-68, Humboldt Universitaet Berlin.
  5. Charles Goodhart & Takatoshi Ito & Richard Payne, 1995. "One Day in June, 1994: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System," NBER Technical Working Papers 0179, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  6. Peter Blum & Michel Dacorogna & Lars Jaeger, 2003. "Performance and Risk Measurement Challenges For Hedge Funds: Empirical Considerations," Risk and Insurance 0311001, EconWPA. [Downloadable!]
  7. Neil, Beattie & Fillion, Jean-François, 1999. "An Intraday Analysis of the Effectiveness of Foreign Exchange Intervention," Working Papers 99-4, Bank of Canada. [Downloadable!]
  8. Ignacio Mauleon, Javier Perote, 2000. "Testing densities with financial data: an empirical comparison of the Edgeworth–Sargan density to the Student’s t," European Journal of Finance, Taylor and Francis Journals, vol. 6(2), pages 225-239, June. [Downloadable!] (restricted)
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