High Watermarks of Market Risks
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- Bertrand Maillet & Jean-Philippe Médecin & Thierry Michel, 2009. "High Watermarks of Market Risks," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00425585, HAL.
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- 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".
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KeywordsFinancial crisis; volatility estimator distributions; range-based volatility; extreme value; high frequency data;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-10-24 (All new papers)
- NEP-ECM-2009-10-24 (Econometrics)
- NEP-MST-2009-10-24 (Market Microstructure)
- NEP-RMG-2009-10-24 (Risk Management)
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