Heavy tails in high-frequency financial data
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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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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- J. Doyne Farmer, 1999. "Physicists Attempt to Scale the Ivory Towers of Finance," Working Papers 99-10-073, Santa Fe Institute.
- Onour, Ibrahim, 2009.
"Extreme Risk and Fat-tails Distribution Model:Empirical Analysis,"
MPRA Paper
17736, University Library of Munich, Germany, revised 20 Sep 2009.
- Ibrahim Onour, . "Extreme Risk and Fat-tails Distribution Model:Empirical Analysis," API-Working Paper Series 0911, Arab Planning Institute - Kuwait, Information Center.
- Weshah Razzak, 2009.
"On the GCC Currency Union,"
EERI Research Paper Series
EERI_RP_2009_29, Economics and Econometrics Research Institute (EERI), Brussels.
- Weshah Razzak, . "On the GCC Currency Union," API-Working Paper Series 0910, Arab Planning Institute - Kuwait, Information Center.
- Martina Nardon & Paolo Pianca, 2006. "Simulation techniques for generalized Gaussian densities," Working Papers 145, Department of Applied Mathematics, Università Ca' Foscari Venezia.
- Faruk Selcuk & Ramazan Gencay, 2001.
"Overnight Borrowing, Interest Rates and Extreme Value Theory,"
Departmental Working Papers
0103, Bilkent University, Department of Economics.
- Gencay, Ramazan & Selcuk, Faruk, 2006. "Overnight borrowing, interest rates and extreme value theory," European Economic Review, Elsevier, vol. 50(3), pages 547-563, April.
- 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.
- Collins, A. & Hand, C. & Snell, M.C., 2001.
"What Makes a Blockbuster? Economic Analysis of Film Success in the United Kingdom,"
Papers
137, Portsmouth University - Department of Economics.
- 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.
- Dr. Ibrahim Onour, .
"The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries,"
API-Working Paper Series
1009, Arab Planning Institute - Kuwait, Information Center.
- Onour, Ibrahim, 2010. "The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries," MPRA Paper 23332, University Library of Munich, Germany.
- Sayantan Ghosh & P. Manimaran & Prasanta K. Panigrahi, 2010. "Characterizing Multi-Scale Self-Similar Behavior and Non-Statistical Properties of Financial Time Series," Quantitative Finance Papers 1003.2539, arXiv.org, revised Dec 2010.
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