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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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Bibliographic Info

Paper provided by Olsen and Associates in its series Working Papers with number 1996-12-11.

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

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Cited by:
  1. 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.
  2. Gencay, Ramazan & Selcuk, Faruk, 2006. "Overnight borrowing, interest rates and extreme value theory," European Economic Review, Elsevier, vol. 50(3), pages 547-563, April.
  3. Martina Nardon & Paolo Pianca, 2006. "Simulation techniques for generalized Gaussian densities," Working Papers 145, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  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.
  5. Onour, Ibrahim, 2009. "Extreme Risk and Fat-tails Distribution Model:Empirical Analysis," MPRA Paper 17736, University Library of Munich, Germany, revised 20 Sep 2009.
  6. Weshah Razzak, 2009. "On the GCC Currency Union," EERI Research Paper Series EERI_RP_2009_29, Economics and Econometrics Research Institute (EERI), Brussels.
  7. Sayantan Ghosh & P. Manimaran & Prasanta K. Panigrahi, 2010. "Characterizing Multi-Scale Self-Similar Behavior and Non-Statistical Properties of Financial Time Series," Papers 1003.2539, arXiv.org, revised Dec 2010.
  8. Onour, Ibrahim, 2010. "The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries," MPRA Paper 23332, University Library of Munich, Germany.
  9. J. Doyne Farmer, 1999. "Physicists Attempt to Scale the Ivory Towers of Finance," Working Papers 99-10-073, Santa Fe Institute.

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