On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns
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- Jose Fernandes & Augusto Hasman & Juan Ignacio Pena, 2007.
"Risk premium: insights over the threshold,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 18(1), pages 41-59.
- Peña Sánchez de Rivera, Juan Ignacio & Fernandes, Jose L. B. & Hasman, Augusto, 2006. "Risk premium: insights over the threshold," DEE - Working Papers. Business Economics. WB wb062808, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
- José L. B. Fernandes & Augusto Hasman & Juan Ignacio Peña, 2006. "Risk Premium: Insights Over The Threshold," Working Papers Series 126, Central Bank of Brazil, Research Department.
- Gu, Gao-Feng & Chen, Wei & Zhou, Wei-Xing, 2008. "Empirical distributions of Chinese stock returns at different microscopic timescales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(2), pages 495-502.
- Salhi, Khaled & Deaconu, Madalina & Lejay, Antoine & Champagnat, Nicolas & Navet, Nicolas, 2016. "Regime switching model for financial data: Empirical risk analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 148-157.
- Bertrand B. Maillet & Jean-Philippe R. M�decin, 2010. "Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes," Working Papers 2010_10, Department of Economics, University of Venice "Ca' Foscari".
- V. F. Pisarenko & D. Sornette, 2004. "New statistic for financial return distributions: power-law or exponential?," Papers physics/0403075, arXiv.org.
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