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Citations for "The Variation of Certain Speculative Prices"

by Benoit Mandelbrot

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  1. 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.
  2. Garcia, René & Renault, Eric & Veredas, David, 2011. "Estimation of stable distributions by indirect inference," Journal of Econometrics, Elsevier, vol. 161(2), pages 325-337, April.
  3. Bidarkota, Prasad V. & Dupoyet, Brice V. & McCulloch, J. Huston, 2009. "Asset pricing with incomplete information and fat tails," Journal of Economic Dynamics and Control, Elsevier, vol. 33(6), pages 1314-1331, June.
  4. Bali, Rakesh & Guirguis, Hany, 2007. "Extreme observations and non-normality in ARCH and GARCH," International Review of Economics & Finance, Elsevier, vol. 16(3), pages 332-346.
  5. C. Lawrenz & F. Westerhoff, 2003. "Modeling Exchange Rate Behavior with a Genetic Algorithm," Computational Economics, Society for Computational Economics, vol. 21(3), pages 209-229, June.
  6. Giulia Iori, 1999. "A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions," Finance 9905005, EconWPA.
  7. Kirchler, Michael & Huber, Jurgen, 2007. "Fat tails and volatility clustering in experimental asset markets," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1844-1874, June.
  8. Jos\'e E. Figueroa-L\'opez & Ruoting Gong & Christian Houdr\'e, 2012. "High-order short-time expansions for ATM option prices of exponential L\'evy models," Papers 1208.5520, arXiv.org, revised Apr 2014.
  9. Geluk, J.L. & De Vries, C.G., 2006. "Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 39-56, February.
  10. José Curto & José Pinto & Gonçalo Tavares, 2009. "Modeling stock markets’ volatility using GARCH models with Normal, Student’s t and stable Paretian distributions," Statistical Papers, Springer, vol. 50(2), pages 311-321, March.
  11. 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.
  12. repec:hal:wpaper:halshs-00721339 is not listed on IDEAS
  13. Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford.
  14. Bams, Dennis & Lehnert, Thorsten & Wolff, Christian C, 2002. "An Evaluation Framework for Alternative VaR Models," CEPR Discussion Papers 3403, C.E.P.R. Discussion Papers.
  15. Taisei Kaizoji, 2010. "Stock volatility in the periods of booms and stagnations," EERI Research Paper Series EERI_RP_2010_07, Economics and Econometrics Research Institute (EERI), Brussels.
  16. Ostermark, Ralf, 2001. "Genetic modelling of multivariate EGARCHX-processes: evidence on the international asset return signal response mechanism," Computational Statistics & Data Analysis, Elsevier, vol. 38(1), pages 71-93, November.
  17. Domino, Krzysztof & Błachowicz, Tomasz, 2015. "The use of copula functions for modeling the risk of investment in shares traded on world stock exchanges," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 424(C), pages 142-151.
  18. Kidd, Willis V. & Brorsen, B. Wade, 2004. "Why have the returns to technical analysis decreased?," Journal of Economics and Business, Elsevier, vol. 56(3), pages 159-176.
  19. J. Barkley Rosser, Jr., 2001. "Alternative Keynesian and Post Keynesian Perspectives on Uncertainty and Expectations," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., vol. 23(4), pages 545-566, July.
  20. Karuppiah, Jeyanthi & Los, Cornelis A., 2005. "Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997," International Review of Financial Analysis, Elsevier, vol. 14(2), pages 211-246.
  21. repec:hal:journl:halshs-00460901 is not listed on IDEAS
  22. Indranil Mukherjee & Amitava Sarkar, 2011. "Complexity, Financial Markets and their Scaling Laws," DEGIT Conference Papers c016_008, DEGIT, Dynamics, Economic Growth, and International Trade.
  23. Xavier Gabaix & Parameswaran Gopikrishnan & Vasiliki Plerou & H. Eugene Stanley, 2006. "Institutional Investors and Stock Market Volatility," The Quarterly Journal of Economics, MIT Press, vol. 121(2), pages 461-504, May.
  24. Luca Riccetti, 2013. "A copula–GARCH model for macro asset allocation of a portfolio with commodities," Empirical Economics, Springer, vol. 44(3), pages 1315-1336, June.
  25. Jamsheed Shorish & Stephen E. Spear, 2005. "Shaking the tree: an agency-theoretic model of asset pricing," Annals of Finance, Springer, vol. 1(1), pages 51-72, 01.
  26. De Grauwe, Paul & Grimaldi, Marianna, 2004. "Bubbles and Crashes in a Behavioural Finance Model," Working Paper Series 164, Sveriges Riksbank (Central Bank of Sweden).
  27. Dias, José G. & Vermunt, Jeroen K. & Ramos, Sofia, 2015. "Clustering financial time series: New insights from an extended hidden Markov model," European Journal of Operational Research, Elsevier, vol. 243(3), pages 852-864.
  28. Hatemi-J, Abdulnasser, 2013. "A New Asymmetric GARCH Model: Testing, Estimation and Application," MPRA Paper 45170, University Library of Munich, Germany.
  29. Guido VENIER, 2008. "A New Model For Stock Price Movements," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 3(3(5)_Fall), pages 329-350.
  30. 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.
  31. Francq, Christian & Meintanis, Simos, 2012. "Fourier--type estimation of the power garch model with stable--paretian innovations," MPRA Paper 41667, University Library of Munich, Germany.
  32. Kocenda, Evzen, 1998. "Exchange rate in transition," MPRA Paper 32030, University Library of Munich, Germany.
  33. Matthew Lorig & Oriol Lozano-Carbass\'e, 2012. "Exponential L\'evy-type models with stochastic volatility and stochastic jump-intensity," Papers 1205.2398, arXiv.org, revised Jul 2013.
  34. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008. "Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00281585, HAL.
  35. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  36. William A. Barnett & Alfredo Medio & Apostolos Serletis, 1997. "Nonlinear and Complex Dynamics in Economics," Econometrics 9709001, EconWPA.
  37. Stavros Stavroyiannis & Leonidas Zarangas, 2013. "Out of Sample Value-at-Risk and Backtesting with the Standardized Pearson Type-IV Skewed Distribution," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(2), pages 231-247, April.
  38. Wayne Tarrant, 2011. "Historical risk measures on stock market indices and energy markets," Papers 1111.4421, arXiv.org.
  39. Andreas Gronlund & Il Gu Yi & Beom Jun Kim, 2012. "Fractal Profit Landscape of the Stock Market," Papers 1205.0505, arXiv.org.
  40. 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.
  41. Chollete, Loran & Ning, Cathy, 2010. "Asymmetric Dependence in US Financial Risk Factors?," UiS Working Papers in Economics and Finance 2011/2, University of Stavanger.
  42. Shih-Kuei Lin & Ren-Her Wang & Cheng-Der Fuh, 2006. "Risk Management for Linear and Non-Linear Assets: A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk," Asia-Pacific Financial Markets, Springer, vol. 13(3), pages 261-295, September.
  43. Li, Zenghu & Ma, Chunhua, 2015. "Asymptotic properties of estimators in a stable Cox–Ingersoll–Ross model," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 3196-3233.
  44. Liu, Ming, 2000. "Modeling long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 99(1), pages 139-171, November.
  45. 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.
  46. de Bandt, Olivier & Hartmann, Philipp, 2000. "Systemic Risk: A Survey," CEPR Discussion Papers 2634, C.E.P.R. Discussion Papers.
  47. Mazouz, Khelifa, 2004. "The effect of CBOE option listing on the volatility of NYSE traded stocks: a time-varying variance approach," Journal of Empirical Finance, Elsevier, vol. 11(5), pages 695-708, December.
  48. Carol Alexander & Daniel Ledermann, 2012. "ROM Simulation: Applications to Stress Testing and VaR," ICMA Centre Discussion Papers in Finance icma-dp2012-09, Henley Business School, Reading University.
  49. Longin, Francois, 2005. "The choice of the distribution of asset returns: How extreme value theory can help?," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 1017-1035, April.
  50. Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013. "Stable mixture GARCH models," Journal of Econometrics, Elsevier, vol. 172(2), pages 292-306.
  51. Siokis, Fotios M., 2014. "European economies in crisis: A multifractal analysis of disruptive economic events and the effects of financial assistance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 283-292.
  52. Jae Kim & Hristos Doucouliagos & Hendrix College, 2014. "Market Efficiency in Asian and Australasian Stock Markets: A Fresh Look at the Evidence," Economics Series 2014_9, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  53. Wei Sun & Svetlozar Rachev & Frank Fabozzi & Petko Kalev, 2008. "Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration," Annals of Finance, Springer, vol. 4(2), pages 217-241, March.
  54. Hart, Jeffrey R. & Apilado, Vince P., 2002. "Inexperienced banks and interstate mergers," Journal of Economics and Business, Elsevier, vol. 54(3), pages 313-330.
  55. Frank Westerhoff & Claudia Lawrenz, 2000. "Explaining Exchange Rate Volatility With A Genetic Algorithm," Computing in Economics and Finance 2000 325, Society for Computational Economics.
  56. W David Walls, 2004. "Modeling movie success when "nobody knows anything": Conditional stable distribution analysis of film returns," Econometric Society 2004 Far Eastern Meetings 409, Econometric Society.
  57. Ballotta, Laura, 2005. "A Lévy process-based framework for the fair valuation of participating life insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 173-196, October.
  58. John Keating & Andrew Lee Smith, 2013. "Price Versus Financial Stability: A role for money in Taylor rules?," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201307, University of Kansas, Department of Economics.
  59. John Stachurski, 2005. "Computable Bounds for Extreme Event Probabilities in Stochastic Economic Models," Department of Economics - Working Papers Series 927, The University of Melbourne.
  60. Kaltwasser, Pablo Rovira, 2010. "Uncertainty about fundamentals and herding behavior in the FOREX market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(6), pages 1215-1222.
  61. Chris Brooks & Gita Persand & Andrew D. Clare, 2000. "An EVT Approach to calculating Risk Capital Requirements," ICMA Centre Discussion Papers in Finance icma-dp2000-07, Henley Business School, Reading University.
  62. Ruenzi, Stefan & Weigert, Florian, 2013. "Crash Sensitivity and the Cross-Section of Expected Stock Returns," Working Papers on Finance 1324, University of St. Gallen, School of Finance.
  63. Aki-Hiro Sato, 2012. "Segmentation analysis on a multivariate time series of the foreign exchange rates," Papers 1205.0336, arXiv.org.
  64. Grauer, Robert R., 2013. "Limiting losses may be injurious to your wealth," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5088-5100.
  65. G. Booth & John Broussard, 1998. "Setting NYSE Circuit Breaker Triggers," Journal of Financial Services Research, Springer, vol. 13(3), pages 187-204, June.
  66. Debabrata Mukhopadhyay & Nityananda Sarkar, 2013. "Stock Returns Under Alternative Volatility and Distributional Assumptions: The Case for India," International Econometric Review (IER), Econometric Research Association, vol. 5(1), pages 1-19, April.
  67. Kirchler, Michael & Huber, Jürgen, 2009. "An exploration of commonly observed stylized facts with data from experimental asset markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1631-1658.
  68. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers 2011-37, School of Economics and Management, University of Aarhus.
  69. Chirok Han & Jin Seo Cho & Peter C. B. Phillips, 2011. "Infinite Density at the Median and the Typical Shape of Stock Return Distributions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(2), pages 282-294, April.
  70. Almeida e Santos Nogueira, R.J. & Basturk, N. & Kaymak, U. & Costa Sousa, J.M., 2013. "Estimation of flexible fuzzy GARCH models for conditional density estimation," ERIM Report Series Research in Management ERS-2013-013-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  71. 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.
  72. Gürtler, Marc & Rauh, Ronald, 2012. "Challenging traditional risk models by a non-stationary approach with nonparametric heteroscedasticity," Working Papers IF41V1, Technische Universität Braunschweig, Institute of Finance.
  73. Zhu, Hui-Ming & Li, ZhaoLai & You, WanHai & Zeng, Zhaofa, 2015. "Revisiting the asymmetric dynamic dependence of stock returns: Evidence from a quantile autoregression model," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 142-153.
  74. Su, Jung-Bin, 2015. "Value-at-risk estimates of the stock indices in developed and emerging markets including the spillover effects of currency market," Economic Modelling, Elsevier, vol. 46(C), pages 204-224.
  75. Francesco Grigoli & Zachary Mills, 2014. "Institutions and public investment: an empirical analysis," Economics of Governance, Springer, vol. 15(2), pages 131-153, May.
  76. R\'emy Chicheportiche & Jean-Philippe Bouchaud, 2012. "The fine-structure of volatility feedback I: multi-scale self-reflexivity," Papers 1206.2153, arXiv.org, revised Sep 2013.
  77. David H. Pyle., 1997. "Bank Risk Management: Theory," Research Program in Finance Working Papers RPF-272, University of California at Berkeley.
  78. En-Der Su & Shih-Ming Huang, 2010. "Comparing Firm Failure Predictions Between Logit, KMV, and ZPP Models: Evidence from Taiwan’s Electronics Industry," Asia-Pacific Financial Markets, Springer, vol. 17(3), pages 209-239, September.
  79. Travkin, Alexandr, 2013. "Pair copula constructions in portfolio optimization ploblem," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 32(4), pages 110-133.
  80. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2012. "GARCH Option Valuation: Theory and Evidence," CREATES Research Papers 2012-50, School of Economics and Management, University of Aarhus.
  81. Hokky Situngkir & Yohanes Surya, 2004. "Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia," Papers cond-mat/0403465, arXiv.org.
  82. Fabio Pizzutilo, 2013. "The Distribution of the Returns of Japanese Stocks and Portfolios," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 3(9), pages 1249-1259, September.
  83. O. Beelders, 2003. "An investigation of the unconditional distribution of South African stock index returns," Applied Financial Economics, Taylor & Francis Journals, vol. 13(9), pages 623-633.
  84. Kenneth Bruninx & Erik Delarue & William D'haeseleer, 2013. "Statistical description of the error on wind power forecasts via a Lévy α-stable distribution," RSCAS Working Papers 2013/50, European University Institute.
  85. Coppes, R. C., 1995. "Are exchange rate changes normally distributed?," Economics Letters, Elsevier, vol. 47(2), pages 117-121, February.
  86. Yalincak, Hakan & Li, Yu & Tong, Mike, 2005. "Examination of VaR after long term capital management," MPRA Paper 40152, University Library of Munich, Germany.
  87. Idier, J., 2008. "Long term vs. short term comovements in stock markets: the use of Markov-switching multifractal models," Working papers 218, Banque de France.
  88. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," PIER Working Paper Archive 04-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  89. John Cotter, 2011. "Tail Behaviour of the Euro," Working Papers 200417, Geary Institute, University College Dublin.
  90. Diana Zhumabekova & Mardi Dungey, 2001. "Factor analysis of a model of stock market returns using simulation-based estimation techniques," Pacific Basin Working Paper Series 2001-08, Federal Reserve Bank of San Francisco.
  91. Maltritz, Dominik & Eichler, Stefan, 2010. "Currency crisis prediction using ADR market data: An options-based approach," International Journal of Forecasting, Elsevier, vol. 26(4), pages 858-884, October.
  92. Frimpong, Joseph Magnus & Oteng-Abayie, Eric Fosu, 2007. "Market Returns and Weak-Form Efficiency: the case of the Ghana Stock Exchange," MPRA Paper 7582, University Library of Munich, Germany, revised 09 Mar 2008.
  93. Karoll Gómez Portilla & Santiago Gallón Gómez, 2007. "Distribución condicional de los retornos de la tasa de cambio colombiana: un ejercicio empírico a partir de modelos GARCH multivariados," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO.
  94. Jon Danielsson & Jean-Pierre Zigrand, 2003. "On time-scaling of risk and the square–root–of–time rule," LSE Research Online Documents on Economics 24827, London School of Economics and Political Science, LSE Library.
  95. Zhu, Ke & Ling, Shiqing, 2014. "Model-based pricing for financial derivatives," MPRA Paper 56623, University Library of Munich, Germany.
  96. Omar Rojas & Carlos Trejo-Pech, 2014. "Financial Time Series: Stylized Facts for the Mexican Stock Exchange Index Compared to Developed Markets," Papers 1412.3126, arXiv.org.
  97. Zunino, Luciano & Zanin, Massimiliano & Tabak, Benjamin M. & Pérez, Darío G. & Rosso, Osvaldo A., 2010. "Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(9), pages 1891-1901.
  98. Edit Rroji & Lorenzo Mercuri, 2014. "Mixed Tempered Stable distribution," Papers 1405.7603, arXiv.org.
  99. Prasad V. Bidarkota and J. Huston McCulloch, 2001. "Consumption Asset Pricing with Stable Shocks: Exploring a Solution and Its Implications for the Equity Premium Puzzle," Computing in Economics and Finance 2001 70, Society for Computational Economics.
  100. Tzouras, Spilios & Anagnostopoulos, Christoforos & McCoy, Emma, 2015. "Financial time series modeling using the Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 425(C), pages 50-68.
  101. Carlos León, 2014. "Scale-free tails in Colombian financial indexes: A primer," Borradores de Economia 812, Banco de la Republica de Colombia.
  102. Ole E. Barndorff-Nielsen & Neil Shephard, 2012. "Basics of Levy processes," Economics Papers 2012-W06, Economics Group, Nuffield College, University of Oxford.
  103. Friedrich Schneider & Gebhard Kirchgässner, 2009. "Financial and world economic crisis: What did economists contribute?," Public Choice, Springer, vol. 140(3), pages 319-327, September.
  104. Rashid, Abdul, 2007. "Stock prices and trading volume: An assessment for linear and nonlinear Granger causality," Journal of Asian Economics, Elsevier, vol. 18(4), pages 595-612, August.
  105. D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Papers cond-mat/0106520, arXiv.org.
  106. Fabio Fornari, 1993. "Estimating variability in the Italian stock market: An ARCH approach," Open Economies Review, Springer, vol. 4(4), pages 403-423, December.
  107. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frédéric Abergel, 2011. "Econophysics: empirical facts," Post-Print hal-00621058, HAL.
  108. Faruk Selcuk & Ramazan Gencay, 2001. "Overnight Borrowing, Interest Rates and Extreme Value Theory," Working Papers 0103, Department of Economics, Bilkent University.
  109. Deo, Rohit S., 2000. "On estimation and testing goodness of fit for m-dependent stable sequences," Journal of Econometrics, Elsevier, vol. 99(2), pages 349-372, December.
  110. Diongue, Abdou Kâ & Guégan, Dominique, 2007. "The stationary seasonal hyperbolic asymmetric power ARCH model," Statistics & Probability Letters, Elsevier, vol. 77(11), pages 1158-1164, June.
  111. W. David Walls, 2004. "Revenues, Profitability, and Returns: Clinical Analysis of the Market for Mobster Films," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 3(2), pages 93-106, August.
  112. Park, Jinwoo, 2001. "Information flows between non-deliverable forward (NDF) and spot markets: Evidence from Korean currency," Pacific-Basin Finance Journal, Elsevier, vol. 9(4), pages 363-377, August.
  113. Jonathan Batten & Craig Ellis, 2001. "Scaling Foreign Exchange Volatility," Accounting, Finance, Financial Planning and Insurance Series 2001_01, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  114. Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgo Fagiolo, 2014. "Rock around the clock :An agent-based model of low-and high frequency trading," Documents de Travail de l'OFCE 2014-03, Observatoire Francais des Conjonctures Economiques (OFCE).
  115. Bates, David S., 2012. "U.S. stock market crash risk, 1926–2010," Journal of Financial Economics, Elsevier, vol. 105(2), pages 229-259.
  116. Eduardo Ariel Corso, 2013. "Cross Fertilizations and Controversies in the Origins and Evolution of Portfolio Selection Models," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(68), pages 43-74, June.
  117. Kittiakarasakun, Jullavut & Tse, Yiuman, 2011. "Modeling the fat tails in Asian stock markets," International Review of Economics & Finance, Elsevier, vol. 20(3), pages 430-440, June.
  118. Thomas Lux, 2008. "Applications of Statistical Physics in Finance and Economics," Kiel Working Papers 1425, Kiel Institute for the World Economy.
  119. Chen, Zhanshou & Jin, Zi & Tian, Zheng & Qi, Peiyan, 2012. "Bootstrap testing multiple changes in persistence for a heavy-tailed sequence," Computational Statistics & Data Analysis, Elsevier, vol. 56(7), pages 2303-2316.
  120. Beetsma, R.M.W.J., 1991. "Bands and Statistical Properties of EMS Exchange Rates," Papers 9105, Tilburg - Center for Economic Research.
  121. Wagner, D.C. & Schmitt, T.A. & Schäfer, R. & Guhr, T. & Wolf, D.E., 2014. "Analysis of a decision model in the context of equilibrium pricing and order book pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 415(C), pages 347-353.
  122. Matthew Greenwood-Nimmo, 2009. "The Self-Defeating Pursuit of Stability," EKONOMIAZ, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, vol. 72(03), pages 224-243.
  123. Ahmed Bel Hadj Ayed & Gr\'egoire Loeper & Fr\'ed\'eric Abergel, 2015. "Forecasting trends with asset prices," Papers 1504.03934, arXiv.org, revised Apr 2015.
  124. Doroodian, K., 1999. "Does exchange rate volatility deter international trade in developing countries?," Journal of Asian Economics, Elsevier, vol. 10(3), pages 465-474.
  125. José Fajardo & Aquiles Farias, 2002. "Generalized Hyperbolic Distributions and Brazilian Data," Working Papers Series 52, Central Bank of Brazil, Research Department.
  126. A. E. Biondo & A. Pluchino & A. Rapisarda & D. Helbing, 2013. "Are random trading strategies more successful than technical ones?," Papers 1303.4351, arXiv.org, revised Jul 2013.
  127. Zhu, Ke & Ling, Shiqing, 2015. "Model-based pricing for financial derivatives," Journal of Econometrics, Elsevier, vol. 187(2), pages 447-457.
  128. Yueh-Neng Lin & Ken Hung, 2008. "Is Volatility Priced?," Annals of Economics and Finance, Society for AEF, vol. 9(1), pages 39-75, May.
  129. De Grauwe, Paul & Rovira Kaltwasser, Pablo, 2012. "Animal spirits in the foreign exchange market," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1176-1192.
  130. Salvador Pueyo, 2014. "Ecological Econophysics for Degrowth," Sustainability, MDPI, Open Access Journal, vol. 6(6), pages 3431-3483, May.
  131. Mario Alejandro Acosta R., 2014. "Las acciones como activo de reserva para el Banco de la República," DOCUMENTOS CEDE 011004, UNIVERSIDAD DE LOS ANDES-CEDE.
  132. J. Doyne Farmer & Shareen Joshi, 2000. "The Price Dynamics of Common Trading Strategies," Working Papers 00-12-069, Santa Fe Institute.
  133. Yuan, Ying & Zhuang, Xin-tian & Liu, Zhi-ying, 2012. "Price–volume multifractal analysis and its application in Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3484-3495.
  134. Tseng, Jie-Jun & Li, Sai-Ping, 2011. "Asset returns and volatility clustering in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(7), pages 1300-1314.
  135. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
  136. Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Economics Papers 2003-W12, Economics Group, Nuffield College, University of Oxford.
  137. Hulusi Inanoglu & Michael Jacobs, 2009. "Models for Risk Aggregation and Sensitivity Analysis: An Application to Bank Economic Capital," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 2(1), pages 118-189, December.
  138. Tompkins, Robert G. & D'Ecclesia, Rita L., 2006. "Unconditional return disturbances: A non-parametric simulation approach," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 287-314, January.
  139. Doan, Phuong & Lin, Chien-Ting & Zurbruegg, Ralf, 2010. "Pricing assets with higher moments: Evidence from the Australian and us stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(1), pages 51-67, February.
  140. Broze, Laurence & Scaillet, Olivier & Zakoian, Jean-Michel, 1995. "Testing for continuous-time models of the short-term interest rate," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 199-223, September.
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