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The asymptotic distribution of extreme stock market returns

Longin, François M. - In: The journal of business : B 69 (1996) 3, pp. 383-408

Persistent link: https://www.econbiz.de/10001203930

Mutual fund performance and seemingly unrelated assets

Pástor, Ľuboš (contributor); … - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001551884

Bayesian estimation of NIG-parameters by Markov chain Monte Carlo methods

Lillestøl, Jostein - 2000

Persistent link: https://www.econbiz.de/10001582162

Estimating the density tail index for financial time series

Kearns, Phillip - In: The review of economics and statistics 79 (1997) 2, pp. 171-175

Persistent link: https://www.econbiz.de/10001222499

Mutual fund performance and seemingly unrelated assets

Pástor, Ľuboš; Stambaugh, Robert F. - In: Journal of financial economics 63 (2002) 3, pp. 315-349

Persistent link: https://www.econbiz.de/10001661695

Mutual fund performance and seemingly unrelated assets

Pástor, Ľuboš (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002011410

Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns

Kapetanios, George (contributor); … - 2005

are analysed and insights from the theory of industrial organisation are given. Governments intervene in the market for …

Persistent link: https://www.econbiz.de/10002734112

Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns

Kapetanios, George (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002808264

Alternative approaches to estimation and inference in large multifactor panles : small sample results with an application to modelling of asset returns

Kapetanios, George (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002808714

Empirical evidence on jumps and large fluctuations in individual stocks

Doung, Diep; Swanson, Norman R. - 2011

We make use of the extant testing methodology of Barndorff-Nielsen and Shephard (2006) and Ai͏̈t-Sahalia and Jacod (2009a,b,c) to examine the importance of jumps, and in particular "large" and "small" jumps, using high frequency price returns on 25 stocks in the DOW 30 and S&P futures index....

Persistent link: https://www.econbiz.de/10009151972