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Citations for "On the frequency of large stock returns: putting booms and busts into perspective"

by Dennis W. Jansen & Casper de Vries

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  1. Philipp Hartmann & Stefan Straetmans & Casper G. De Vries, 2005. "Banking System Stability: A Cross-Atlantic Perspective," NBER Working Papers 11698, National Bureau of Economic Research, Inc.
  2. Thomas Lux, 2007. "Application of Statistical Physics in Finance and Economics," Working Papers wp07-09, Warwick Business School, Finance Group.
  3. Makoto Nirei, 2008. "Self-organized criticality in a herd behavior model of financial markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 3(1), pages 89-97, June.
  4. Hyung, Namwon & de Vries, Casper G., 2012. "Simulating and calibrating diversification against black swans," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1162-1175.
  5. Bertrand Maillet & Thierry Michel, 2002. "How deep was the September 2001 stock market crisis?: putting recent events on the American and French markets into perspective with an index of market shocks," LSE Research Online Documents on Economics 24936, London School of Economics and Political Science, LSE Library.
  6. Slijkerman, Jan Frederik & Schoenmaker, Dirk & de Vries, Casper G., 2013. "Systemic risk and diversification across European banks and insurers," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 773-785.
  7. Polanski, Arnold & Stoja, Evarist, 2015. "Extreme risk interdependence," Bank of England working papers 563, Bank of England.
  8. Andrea Morone, 2005. "Financial Market in the Laboratory, an Experimental Analysis of some Stylized Facts," Papers on Strategic Interaction 2005-27, Max Planck Institute of Economics, Strategic Interaction Group.
  9. P. Hartmann & S. Straetmans & C.G. de Vries, 2001. "Asset Market Linkages in Crisis Periods," Tinbergen Institute Discussion Papers 01-071/2, Tinbergen Institute.
  10. Candelon, Bertrand & Straetmans, Stefan, 2006. "Testing for multiple regimes in the tail behavior of emerging currency returns," Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1187-1205, November.
  11. Thomas Lux, 2008. "Stochastic Behavioral Asset Pricing Models and the Stylized Facts," Working Papers wp08-03, Warwick Business School, Finance Group.
  12. Wang, Jying-Nan & Yeh, Jin-Huei & Cheng, Nick Ying-Pin, 2011. "How accurate is the square-root-of-time rule in scaling tail risk: A global study," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1158-1169, May.
  13. Iglesias, Emma M., 2015. "Value at Risk of the main stock market indexes in the European Union (2000–2012)," Journal of Policy Modeling, Elsevier, vol. 37(1), pages 1-13.
  14. Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Kiel Working Papers 1426, Kiel Institute for the World Economy (IfW).
  15. Antonio Di Cesare & Philip A. Stork & Casper G. de Vries, 2015. "Risk Measures for Autocorrelated Hedge Fund Returns," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 13(4), pages 868-895.
  16. Chollete, Lorán, 2008. "The Propagation of Financial Extremes: An Application to Subprime Market Spillovers," Discussion Papers 2008/2, Department of Business and Management Science, Norwegian School of Economics.
  17. Danielsson, Jon & Jorgensen, Bjorn N. & Sarma, Mandira & de Vries, Casper G., 2006. "Comparing downside risk measures for heavy tailed distributions," Economics Letters, Elsevier, vol. 92(2), pages 202-208, August.
  18. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2012. "International diversification: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 871-885.
  19. Chen Zou, 2009. "Dependence structure of risk factors and diversification effects," DNB Working Papers 219, Netherlands Central Bank, Research Department.
  20. Afonso Gonçalves da Silva & Peter M Robinson, 2007. "Fractional Cointegration In StochasticVolatility Models," STICERD - Econometrics Paper Series 519, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  21. Ibragimov, Rustam & Walden, Johan, 2007. "The limits of diversification when losses may be large," Scholarly Articles 2624460, Harvard University Department of Economics.
  22. Kaehler, Jürgen & Marnet, Volker, 1993. "Markov-switching models for exchange-rate dynamics and the pricing of foreign-currency options," ZEW Discussion Papers 93-03, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  23. Peter C.B. Phillips & James W. McFarland & Patrick C. McMahon, 1994. "Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920's," Cowles Foundation Discussion Papers 1080, Cowles Foundation for Research in Economics, Yale University.
  24. Gus Garita & Chen Zhou, 2009. "Can Open Capital Markets Help Avoid Currency Crises?," DNB Working Papers 205, Netherlands Central Bank, Research Department.
  25. Marian Vavra, 2012. "Testing Non-linearity Using a Modified Q Test," Birkbeck Working Papers in Economics and Finance 1204, Birkbeck, Department of Economics, Mathematics & Statistics.
  26. Kiani, Khurshid M., 2011. "Relationship between portfolio diversification and value at risk: Empirical evidence," Emerging Markets Review, Elsevier, vol. 12(4), pages 443-459.
  27. Epaminondas Panas & Vassilia Ninni, 2010. "The Distribution of London Metal Exchange Prices: A Test of the Fractal Market Hypothesis," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 192-210.
  28. Ibragimov, Marat & Ibragimov, Rustam & Kattuman, Paul, 2013. "Emerging markets and heavy tails," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2546-2559.
  29. repec:ebl:ecbull:v:3:y:2002:i:17:p:1-10 is not listed on IDEAS
  30. Chollete, Loran & Ismailescu, Iuliana & Lu, Ching-Chih, 2014. "Dependence between Extreme Events in the Real and Financial Sectors," UiS Working Papers in Economics and Finance 2014/12, University of Stavanger.
  31. Bali, Turan G. & Neftci, Salih N., 2003. "Disturbing extremal behavior of spot rate dynamics," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 455-477, September.
  32. Claudeci Da Silva & Hugo Agudelo Murillo & Joaquim Miguel Couto, 2014. "Early Warning Systems: Análise De Ummodelo Probit De Contágio De Crise Dos Estados Unidos Para O Brasil(2000-2010)," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 110, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  33. Ibragimov, Rustam & Walden, Johan, 2007. "The limits of diversification when losses may be large," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2551-2569, August.
  34. Ning, Cathy, 2010. "Dependence structure between the equity market and the foreign exchange market-A copula approach," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 743-759, September.
  35. Jalal, Amine & Rockinger, Michael, 2008. "Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 868-877, December.
  36. Chao Huang & Jin-Guan Lin, 2014. "Modified maximum spacings method for generalized extreme value distribution and applications in real data analysis," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 77(7), pages 867-894, October.
  37. Michael Rockinger & Eric Jondeau, 2001. "Testing for differences in the tails of stock-market returns," Working Papers hal-00601480, HAL.
  38. Kawas, Ban & Thiele, Aurélie, 2011. "Short sales in Log-robust portfolio management," European Journal of Operational Research, Elsevier, vol. 215(3), pages 651-661, December.
  39. Maarten van Oordt & Chen Zhou, 2014. "Systemic risk and bank business models," DNB Working Papers 442, Netherlands Central Bank, Research Department.
  40. Jonathan Wiley & Leonard Zumpano, 2009. "Institutional Investment and the Turn-of-the-Month Effect: Evidence from REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 180-201, August.
  41. Daníelsson, Jón & Jorgensen, Bjørn N. & Samorodnitsky, Gennady & Sarma, Mandira & de Vries, Casper G., 2013. "Fat tails, VaR and subadditivity," Journal of Econometrics, Elsevier, vol. 172(2), pages 283-291.
  42. Makoto Nirei & Tsutomu Watanabe, 2014. "Beauty Contests and Fat Tails in Financial Markets," CARF F-Series CARF-F-346, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  43. Garita, Gus & Zhou, Chen, 2009. "Can Financial Openness Help Avoid Currency Crises?," MPRA Paper 23166, University Library of Munich, Germany, revised 07 Jun 2010.
  44. Meerschaert, Mark M. & Scheffler, Hans-Peter, 1999. "Moment Estimator for Random Vectors with Heavy Tails," Journal of Multivariate Analysis, Elsevier, vol. 71(1), pages 145-159, October.
  45. Jansen, Dennis W. & Koedijk, Kees G. & de Vries, Casper G., 2000. "Portfolio selection with limited downside risk," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 247-269, November.
  46. Assaf, A., 2009. "Extreme observations and risk assessment in the equity markets of MENA region: Tail measures and Value-at-Risk," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 109-116, June.
  47. Straetmans, Stefan, 2000. "Extremal spillovers in financial markets," Serie Research Memoranda 0013, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  48. J.L. Geluk & C.G. de Vries, 2004. "Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities," Tinbergen Institute Discussion Papers 04-102/2, Tinbergen Institute.
  49. Pedro J. F. de Lima & Michelle L. Barnes, 2000. "Modeling Financial Volatility: Extreme Observations, Nonlinearities and Nonstationarities," School of Economics Working Papers 2000-05, University of Adelaide, School of Economics.
  50. Ibragimov, Rustam & Walden, Johan, 2008. "Portfolio diversification under local and moderate deviations from power laws," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 594-599, April.
  51. Zhou, Chen, 2010. "Dependence structure of risk factors and diversification effects," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 531-540, June.
  52. de Lima, Pedro J. F., 1997. "On the robustness of nonlinearity tests to moment condition failure," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 251-280.
  53. Xavier Gabaix, 2008. "Power Laws in Economics and Finance," NBER Working Papers 14299, National Bureau of Economic Research, Inc.
  54. J.L. Geluk & L. de Haan & C.G. de Vries, 2007. "Weak & Strong Financial Fragility," Tinbergen Institute Discussion Papers 07-023/2, Tinbergen Institute.
  55. Khurshid M. Kiani, 2016. "On Modelling and Forecasting Predictable Components in European Stock Markets," Computational Economics, Springer;Society for Computational Economics, vol. 48(3), pages 487-502, October.
  56. S. T. M. Straetmans & W. F. C. Verschoor & C. C. P. Wolff, 2008. "Extreme US stock market fluctuations in the wake of 9|11," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 17-42.
  57. Wang, Yi-Chen & Wang, Ching-Wen & Huang, Chia-Hsing, 2015. "The impact of unconventional monetary policy on the tail risks of stock markets between U.S. and Japan," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 41-51.
  58. Phillip Wild & John Foster, 2012. "On testing for non-linear and time irreversible probabilistic structure in high frequency ASX financial time series data," Discussion Papers Series 466, School of Economics, University of Queensland, Australia.
  59. Lerby M. Ergun, 2016. "Disaster and fortune risk in asset returns," LSE Research Online Documents on Economics 66194, London School of Economics and Political Science, LSE Library.
  60. Pais, Amelia & Stork, Philip A., 2011. "Contagion risk in the Australian banking and property sectors," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 681-697, March.
  61. KIANI, Khurshid M., 2007. "Determination Of Volatility And Mean Returns: An Evidence From An Emerging Stock Market," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 4(1), pages 103-118.
  62. Longin, François & Solnik, Bruno H, 2000. "Extreme Correlation of International Equity Markets," CEPR Discussion Papers 2538, C.E.P.R. Discussion Papers.
  63. Ibragimov, Rustam, 2014. "On the robustness of location estimators in models of firm growth under heavy-tailedness," Journal of Econometrics, Elsevier, vol. 181(1), pages 25-33.
  64. Straetmans, Stefan & Candelon, Bertrand, 2013. "Long-term asset tail risks in developed and emerging markets," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 1832-1844.
  65. G. Booth & John Broussard, 1998. "Setting NYSE Circuit Breaker Triggers," Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(3), pages 187-204, June.
  66. Maarten van Oordt & Chen Zhou, 2016. "Estimating Systematic Risk Under Extremely Adverse Market Conditions," Staff Working Papers 16-22, Bank of Canada.
  67. Holger Drees & Laurens F.M. de Haan & Sidney Resnick, 1998. "How to make a Hill Plot," Tinbergen Institute Discussion Papers 98-090/4, Tinbergen Institute.
  68. Ibragimov Marat & Khamidov Rufat, 2010. "Heavy-Tailedness and Volatility in Emerging Foreign Exchange Markets: Theory and Empirics," EERC Working Paper Series 10/06e, EERC Research Network, Russia and CIS.
  69. Chollete, Loran & de la Pena , Victor & Lu, Ching-Chih, 2009. "International Diversification: An Extreme Value Approach," UiS Working Papers in Economics and Finance 2009/26, University of Stavanger.
  70. Zhou, Chen, 2013. "The impact of imposing capital requirements on systemic risk," Journal of Financial Stability, Elsevier, vol. 9(3), pages 320-329.
  71. Troy Tassier, 2013. "Handbook of Research on Complexity, by J. Barkley Rosser, Jr. and Edward Elgar," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 39(1), pages 132-133.
  72. Xavier Gabaix & David Laibson & Deyuan Li & Hongyi Li & Sidney Resnick & Casper G. de Vries, 2013. "The Impact of Competition on Prices with Numerous Firms," Working Papers 13-07, Chapman University, Economic Science Institute.
  73. Dolf Diemont & Kyle Moore & Aloy Soppe, 2016. "The Downside of Being Responsible: Corporate Social Responsibility and Tail Risk," Journal of Business Ethics, Springer, vol. 137(2), pages 213-229, August.
  74. Campbell, Rachel A.J. & Forbes, Catherine S. & Koedijk, Kees G. & Kofman, Paul, 2008. "Increasing correlations or just fat tails?," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 287-309, March.
  75. Jon Danielsson & Chen Zhou, 2016. "Why risk is so hard to measure," DNB Working Papers 494, Netherlands Central Bank, Research Department.
  76. Simon A. BRODA & Markus HAAS & Jochen KRAUSE & Marc S. PAOLELLA & Sven C. STEUDE, . "Stable Mixture GARCH Models," Swiss Finance Institute Research Paper Series 11-39, Swiss Finance Institute.
  77. Cumperayot, Phornchanok & Kouwenberg, Roy, 2013. "Early warning systems for currency crises: A multivariate extreme value approach," Journal of International Money and Finance, Elsevier, vol. 36(C), pages 151-171.
  78. Chollete, Loran, 2011. "A Model of Endogenous Extreme Events," UiS Working Papers in Economics and Finance 2012/2, University of Stavanger.
  79. Antonio Doria, Francisco, 2011. "J.B. Rosser Jr. , Handbook of Research on Complexity, Edward Elgar, Cheltenham, UK--Northampton, MA, USA (2009) 436 + viii pp., index, ISBN 978 1 84542 089 5 (cased)," Journal of Economic Behavior & Organization, Elsevier, vol. 78(1-2), pages 196-204, April.
  80. Toni Gravelle & Fuchun Li, 2011. "Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach," Staff Working Papers 11-19, Bank of Canada.
  81. Sharma, Prateek & Vipul,, 2015. "Performance of risk-based portfolios under different market conditions: Evidence from India," Research in International Business and Finance, Elsevier, vol. 34(C), pages 397-411.
  82. Hussain, Saiful Izzuan & Li, Steven, 2015. "Modeling the distribution of extreme returns in the Chinese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 263-276.
  83. Haile, Fasika & Pozo, Susan, 2008. "Currency crisis contagion and the identification of transmission channels," International Review of Economics & Finance, Elsevier, vol. 17(4), pages 572-588, October.
  84. James Y. Yao & Jorge A Chan-Lau & Donald J Mathieson, 2002. "Extreme Contagion in Equity Markets," IMF Working Papers 02/98, International Monetary Fund.
  85. João Nicolau & Paulo M.M. Rodrigues, 2015. "A New Regression-Based Tail Index Estimator: An Application to Exchange Rates," Working Papers w201514, Banco de Portugal, Economics and Research Department.
  86. Straetmans, Stefan & Chaudhry, Sajid M., 2015. "Tail risk and systemic risk of US and Eurozone financial institutions in the wake of the global financial crisis," Journal of International Money and Finance, Elsevier, vol. 58(C), pages 191-223.
  87. Raúl Susmel, 1998. "Extreme Observations and Diversification in Latin American Emerging Equity Markets," CEMA Working Papers: Serie Documentos de Trabajo. 138, Universidad del CEMA.
  88. Ibragimov, Rustam & Jaffee, Dwight & Walden, Johan, 2011. "Diversification disasters," Journal of Financial Economics, Elsevier, vol. 99(2), pages 333-348, February.
  89. Franses, Ph.H.B.F. & van Dijk, D.J.C., 1997. "Do We Often Find ARCH Because Of Neglected Outliers?," Econometric Institute Research Papers EI 9706-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  90. Daníelsson, J. & de Haan, L.F.M. & Peng, L. & de Vries, C.G., 2000. "Using a bootstrap method to choose the sample fraction in tail index estimation," Econometric Institute Research Papers EI 2000-19/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  91. Geluk, J.L. & de Vries, C.G., 2004. "Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities," Econometric Institute Research Papers EI 2004-47, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  92. Haque, Mahfuzul & Kabir Hassan, M. & Varela, Oscar, 2004. "Safety-first portfolio optimization for US investors in emerging global, Asian and Latin American markets," Pacific-Basin Finance Journal, Elsevier, vol. 12(1), pages 91-116, January.
  93. M. F. Omran, 1997. "Moment condition failure in stock returns: UK evidence," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(4), pages 201-206.
  94. Longin, François, 1999. "From Value at Risk to Stress Testing: The Extreme Value Approach," CEPR Discussion Papers 2161, C.E.P.R. Discussion Papers.
  95. Namwon Hyung & Casper G. de Vries, 2010. "The Downside Risk of Heavy Tails induces Low Diversification," Tinbergen Institute Discussion Papers 10-082/2, Tinbergen Institute.
  96. Gimeno, Ricardo & Gonzalez, Clara I., 2012. "An automatic procedure for the estimation of the tail index," MPRA Paper 37023, University Library of Munich, Germany.
  97. Stanley, H.E. & Gopikrishnan, P. & Plerou, V. & Amaral, L.A.N., 2000. "Quantifying fluctuations in economic systems by adapting methods of statistical physics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 339-361.
  98. ROCKINGER, Michael & JONDEAU, Eric, 1999. "The Tail Behavior of Stock Returns: Emerging versus Mature Markets," Les Cahiers de Recherche 668, HEC Paris.
  99. Einmahl, J.H.J. & de Haan, L.F.M. & Zhou, C., 2014. "Statistics of Heteroscedastic Extremes," Discussion Paper 2014-015, Tilburg University, Center for Economic Research.
  100. Poon, Ser-Huang & Rockinger, Michael & Tawn, Jonathan, 2001. "New Extreme-Value Dependence Measures and Finance Applications," CEPR Discussion Papers 2762, C.E.P.R. Discussion Papers.
  101. Meagan M. Jordan, 2003. "Punctuations and agendas: A new look at local government budget expenditures," Journal of Policy Analysis and Management, John Wiley & Sons, Ltd., vol. 22(3), pages 345-360.
  102. P. Bertrand & J.L. Prigent, 2000. "Portfolio Insurance : The extreme Value of the CCPI Method," THEMA Working Papers 2000-49, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  103. Mohammad Karimi & Marcel Voia, 2015. "Identifying extreme values of exchange market pressure," Empirical Economics, Springer, vol. 48(3), pages 1055-1078, May.
  104. Pontines, Victor & Siregar, Reza, 2007. "The Yen, the US dollar, and the trade weighted basket of currencies: Does the choice of anchor currencies matter in identifying incidences of speculative attacks?," Japan and the World Economy, Elsevier, vol. 19(2), pages 214-235, March.
  105. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Working Papers 16223, National Bureau of Economic Research, Inc.
  106. Rustam Ibragimov & Marat Ibragimov & Rufat Khamidov, 2010. "Measuring Inequality in CIS Countries: Theory and Empirics," wiiw Balkan Observatory Working Papers 88, The Vienna Institute for International Economic Studies, wiiw.
  107. Donald J. Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Cowles Foundation Discussion Papers 1518, Cowles Foundation for Research in Economics, Yale University.
  108. Iglesias, Emma M., 2015. "Value at Risk and expected shortfall of firms in the main European Union stock market indexes: A detailed analysis by economic sectors and geographical situation," Economic Modelling, Elsevier, vol. 50(C), pages 1-8.
  109. 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.
  110. Nirei, Makoto & Sushko, Vladyslav, 2011. "Jumps in foreign exchange rates and stochastic unwinding of carry trades," International Review of Economics & Finance, Elsevier, vol. 20(1), pages 110-127, January.
  111. Assaf, Ata, 2015. "Value-at-Risk analysis in the MENA equity markets: Fat tails and conditional asymmetries in return distributions," Journal of Multinational Financial Management, Elsevier, vol. 29(C), pages 30-45.
  112. Maarten van Oordt & Chen Zhou, 2011. "Systematic risk under extremely adverse market condition," DNB Working Papers 281, Netherlands Central Bank, Research Department.
  113. Longin, François & Pagliardi, Giovanni, 2016. "Tail relation between return and volume in the US stock market: An analysis based on extreme value theory," Economics Letters, Elsevier, vol. 145(C), pages 252-254.
  114. Lux, Thomas, 2006. "Financial power laws: Empirical evidence, models, and mechanism," Economics Working Papers 2006,12, Christian-Albrechts-University of Kiel, Department of Economics.
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  116. 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.
  117. Krehbiel, Tim & Adkins, Lee C., 2008. "Extreme daily changes in U.S. Dollar London inter-bank offer rates," International Review of Economics & Finance, Elsevier, vol. 17(3), pages 397-411.
  118. Linton, Oliver & Iglesias, Emma M., 2009. "Estimation of tail thickness parameters from GJR-GARCH models," UC3M Working papers. Economics we094726, Universidad Carlos III de Madrid. Departamento de Economía.
  119. K. Minderhoud, 2006. "Systemic Risk in the Dutch Financial Sector," De Economist, Springer, vol. 154(2), pages 177-195, June.
  120. Rustam Ibragimov & Johan Walden, 2011. "Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks," Annals of Finance, Springer, vol. 7(3), pages 285-318, August.
  121. LONGIN, François & SOLNIK, Bruno, 2000. "Extreme correlation of international equity markets," Les Cahiers de Recherche 705, HEC Paris.
  122. Longin, Francois M., 2000. "From value at risk to stress testing: The extreme value approach," Journal of Banking & Finance, Elsevier, vol. 24(7), pages 1097-1130, July.
  123. Radu T. Pruna & Maria Polukarov & Nicholas R. Jennings, 2016. "A new structural stochastic volatility model of asset pricing and its stylized facts," Papers 1604.08824, arXiv.org.
  124. Gabaix, Xavier & Gopikrishnan, Parameswaran & Plerou, Vasiliki & Stanley, Eugene, 2007. "A unified econophysics explanation for the power-law exponents of stock market activity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 81-88.
  125. Christian Francq & Jean-Michel Zakoïan, 2011. "Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions," Working Papers 2011-30, Centre de Recherche en Economie et Statistique.
  126. Donald Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Yale School of Management Working Papers amz2581, Yale School of Management, revised 01 Jul 2005.
  127. Jon Danielsson & Hyun Song Shin & Jean-Pierre Zigrand, 2012. "Endogenous Extreme Events and the Dual Role of Prices," Annual Review of Economics, Annual Reviews, vol. 4(1), pages 111-129, 07.
  128. Javid, Attiya Yasmin, 2009. "Test of Higher Moment Capital Asset Pricing Model in Case of Pakistani Equity Market," MPRA Paper 38059, University Library of Munich, Germany.
  129. Ghose, Devajyoti & Kroner, Kenneth F., 1995. "The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 225-251, September.
  130. C.G. de vries, 2004. "The simple economics of bank fragility," WO Research Memoranda (discontinued) 755, Netherlands Central Bank, Research Department.
  131. DiTraglia, Francis J. & Gerlach, Jeffrey R., 2013. "Portfolio selection: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 305-323.
  132. K. D. Patterson & S. M. Heravi, 2003. "The impact of fat-tailed distributions on some leading unit roots tests," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(6), pages 635-667.
  133. Zacharias Psaradakis & Marián Vávra, 2015. "Portmanteau Tests for Linearity of Stationary Time Series," Birkbeck Working Papers in Economics and Finance 1514, Birkbeck, Department of Economics, Mathematics & Statistics.
  134. Campbell, Rachel & Huisman, Ronald & Koedijk, Kees, 2001. "Optimal portfolio selection in a Value-at-Risk framework," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1789-1804, September.
  135. Rustam Ibragimov, 2005. "Portfolio Diversification and Value At Risk Under Thick-Tailedness," Yale School of Management Working Papers amz2386, Yale School of Management, revised 01 Aug 2005.
  136. Kaehler, Jürgen, 1993. "On the modelling of speculative prices by stable Paretian distributions and regularly varying tails," ZEW Discussion Papers 93-25, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  137. Fong, Wai Mun, 2003. "Time reversibility tests of volume-volatility dynamics for stock returns," Economics Letters, Elsevier, vol. 81(1), pages 39-45, October.
  138. Lux, Thomas, 2008. "Applications of statistical physics in finance and economics," Kiel Working Papers 1425, Kiel Institute for the World Economy (IfW).
  139. Gabaix, Xavier & Gopikrishnan, Parameswaran & Plerou, Vasiliki & Eugene Stanley, H., 2008. "Quantifying and understanding the economics of large financial movements," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 303-319, January.
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