Estimates of the likelihood of extreme returns in international stock markets
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- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
- Pedro Gozalo & Oliver Linton, 1994. "Local Nonlinear Least Squares Estimation: Using Parametric Information Nonparametrically," Cowles Foundation Discussion Papers 1075, Cowles Foundation for Research in Economics, Yale University.
- Manuel Arellano & Stephen Bond, 1991.
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- Tom Doan, "undated". "RATS program to replicate Arellano-Bond 1991 dynamic panel," Statistical Software Components RTZ00169, Boston College Department of Economics.
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- 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.
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