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

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  • 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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Cited by:
  1. Taisei Kaizoji, 2005. "Comparison of volatility distributions in the periods of booms and stagnations: an empirical study on stock price indices," Papers physics/0506114, arXiv.org.
  2. Peter Blum & Michel Dacorogna & Lars Jaeger, 2003. "Performance and Risk Measurement Challenges For Hedge Funds: Empirical Considerations," Risk and Insurance, EconWPA 0311001, EconWPA.
  3. Taisei Kaizoji, 2010. "Stock volatility in the periods of booms and stagnations," EERI Research Paper Series EERI_RP_2010_07, Economics and Econometrics Research Institute (EERI), Brussels.
  4. Y. Malevergne & V. F. Pisarenko & D. Sornette, 2003. "Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?," Papers physics/0305089, arXiv.org.
  5. Jean-Philippe Bouchaud & Didier Sornette & Christian Walter & Jean-Pierre Aguilar, 1998. "Taming large events: portfolio selection for strongly fluctuating assets," Science & Finance (CFM) working paper archive 500044, Science & Finance, Capital Fund Management.
  6. Manfred Gilli & Evis këllezi, 2006. "An Application of Extreme Value Theory for Measuring Financial Risk," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 27(2), pages 207-228, May.
  7. Jon DANIELSSON & Casper G. DE VRIES, 2000. "Value-at-Risk and Extreme Returns," Annales d'Economie et de Statistique, ENSAE, issue 60, pages 239-270.
  8. Vêlayoudom Marimoutou & Bechir Raggad & Abdelwahed Trabelsi, 2006. "Extreme Value Theory and Value at Risk : Application to Oil Market," Working Papers halshs-00410746, HAL.
  9. Ignacio Mauleon & Javier Perote, 2000. "Testing densities with financial data: an empirical comparison of the Edgeworth-Sargan density to the Student's t," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 6(2), pages 225-239.
  10. Neil, Beattie & Fillion, Jean-François, 1999. "An Intraday Analysis of the Effectiveness of Foreign Exchange Intervention," Working Papers, Bank of Canada 99-4, Bank of Canada.
  11. 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.
  12. Jean-Philippe Bouchaud & Marc Potters, 1999. "Worst fluctuation method for fast value-at-risk estimates," Science & Finance (CFM) working paper archive 9909245, Science & Finance, Capital Fund Management.

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