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Heavy tails in high-frequency financial data

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Author Info
Olivier V. Pictet
Michel M. Dacorogna
Ulrich A. Muller

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File URL: http://www.olsen.ch/research/311_tailstatbook2.ps.zip
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Paper provided by Olsen and Associates in its series Working Papers with number 1996-12-11.

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Date of creation: 1996
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Handle: RePEc:wop:olaswp:_016

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  1. J. Doyne Farmer, 1999. "Physicists Attempt to Scale the Ivory Towers of Finance," Working Papers 99-10-073, Santa Fe Institute.
  2. Martina Nardon & Paolo Pianca, 2006. "Simulation techniques for generalized Gaussian densities," Working Papers 145, Department of Applied Mathematics, University of Venice. [Downloadable!]
  3. 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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  4. Alberto Mora-Galan & Ana Perez & Esther Ruiz, 2004. "Stochastic Volatility Models And The Taylor Effect," Statistics and Econometrics Working Papers ws046315, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  5. Alan Collins & Chris Hand & Martin C. Snell, 2002. "What makes a blockbuster? Economic analysis of film success in the United Kingdom," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 23(6), pages 343-354. [Downloadable!]
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