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An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies

Chan, Stephen; Chu, Jeffrey; Zhang, Yuanyuan; … - In: Research in international business and finance 59 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013402146

Is the wealth of the Forbes 400 lists really Pareto distributed?

Chan, Stephen; Chu, Jeffrey; Nadarajah, Saralees - In: Economics letters 152 (2017), pp. 9-14

Persistent link: https://www.econbiz.de/10011800764

On fitting cryptocurrency log-return exchange rates

Alzaatreh, Ayman; Sulieman, Hana - In: Empirical economics : a quarterly journal of the … 60 (2021) 3, pp. 1157-1174

Persistent link: https://www.econbiz.de/10012490512

Cross-sectional analysis of risk-neutral skewness

Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - 2009

We investigate the association of various firm-specific and market-wide factors with the riskneutral skewness (RNS) implied by the prices of individual stock options. Our analysis covers 149 U.S. firms over a four-year period. Our choice of firms is based on adequate liquidity and trading...

Persistent link: https://www.econbiz.de/10003919376

Cross-sectional analysis of risk-neutral skewness

Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - In: The journal of derivatives : the official publication … 16 (2008/09) 4, pp. 38-52

Persistent link: https://www.econbiz.de/10003862759

On the characteristic function for asymmetric Student distributions

Nadarajah, Saralees; Chan, Stephen; Afuecheta, Emmanuel - In: Economics letters 121 (2013) 2, pp. 271-274

Persistent link: https://www.econbiz.de/10010347125

Extreme value analysis of electricity demand in the UK

Chan, Stephen; Nadarajah, Saralees - In: Applied economics letters 22 (2015) 13/15, pp. 1246-1251

Persistent link: https://www.econbiz.de/10011312714

Ordered random variables

Nadarajah, Saralees; Afuecheta, Emmanuel; Chan, Stephen - In: Opsearch : journal of the Operational Research Society … 56 (2019) 1, pp. 344-366

Persistent link: https://www.econbiz.de/10012008493