Extreme Value Estimation of Boom and Crash Statistics
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References listed on IDEAS
- Francis X. Diebold & Til Schuermann & John D. Stroughair, 1998.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
- Echaust Krzysztof, 2014. "A Comparison of Tail Behaviour of Stock Market Returns," Folia Oeconomica Stetinensia, De Gruyter Open, vol. 14(1), pages 1-13, June.
More about this item
KeywordsExtreme value theory; market crashes and booms;
StatisticsAccess and download statistics
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