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• Michel M Dacorogna

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Paper provided by Olsen and Associates in its series Working Papers with number 1996-12-10.

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Date of creation: 1996
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Handle: RePEc:wop:olaswp:_015

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1. Michel Dacorogna & Peter Blum, 2003. "Extreme Moves in Foreign Exchange Rates and Risk Limit Setting," Risk and Insurance 0306004, EconWPA. [Downloadable!]
2. Faruk Selcuk & Ramazan Gencay, 2001. "Overnight Borrowing, Interest Rates and Extreme Value Theory," Departmental Working Papers 0103, Bilkent University, Department of Economics. [Downloadable!]
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   • Gencay, Ramazan & Selcuk, Faruk, 2006. "Overnight borrowing, interest rates and extreme value theory," European Economic Review, Elsevier, vol. 50(3), pages 547-563, April. [Downloadable!] (restricted)
3. Tsourti, Zoi & Panaretos, John, 2003. "Extreme Value Index Estimators and Smoothing Alternatives: A Critical Review," MPRA Paper 6390, University Library of Munich, Germany. [Downloadable!]
4. Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2004. "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Research Paper Series 125, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
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   • Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2005. "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Asia-Pacific Financial Markets, Springer, vol. 12(1), pages 1-28, March. [Downloadable!] (restricted)
5. Céline Azizieh & Wolfgang Breymann, 2005. "Estimation of the Stylized Facts of a Stochastic Cascade Model," Working Papers CEB 05-009.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
6. Raymond Knott & Marco Polenghi, . "Assessing central counterparty margin coverage on futures contracts using GARCH models," Bank of England working papers 287, Bank of England. [Downloadable!]
7. F. Clementi & T. Di Matteo & M. Gallegati, 2006. "The Power-law Tail Exponent of Income Distributions," Quantitative Finance Papers physics/0603061, arXiv.org. [Downloadable!]

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