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Mandelbrot's Extremism

Author

Listed:
  • Beirlant, J.
  • Schoutens, W.
  • Segers, J.J.J.

    (Tilburg University, Center For Economic Research)

Abstract

No abstract is available for this item.

Suggested Citation

  • Beirlant, J. & Schoutens, W. & Segers, J.J.J., 2004. "Mandelbrot's Extremism," Discussion Paper 2004-125, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:34027632-2f60-44af-a2ed-ed80a12df926
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    File URL: https://pure.uvt.nl/ws/portalfiles/portal/630358/125.pdf
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    References listed on IDEAS

    as
    1. Benoit Mandelbrot & Howard M. Taylor, 1967. "On the Distribution of Stock Price Differences," Operations Research, INFORMS, vol. 15(6), pages 1057-1062, December.
    2. Christopher A. T. Ferro & Johan Segers, 2003. "Inference for clusters of extreme values," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(2), pages 545-556, May.
    3. Benoit Mandelbrot, 1967. "The Variation of Some Other Speculative Prices," The Journal of Business, University of Chicago Press, vol. 40, pages 393-393.
    4. Philip Hua & Paul Wilmott, 1999. "Crash Modelling, Value at Risk and Optimal Hedging," OFRC Working Papers Series 1999mf06, Oxford Financial Research Centre.
    5. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
    Full references (including those not matched with items on IDEAS)

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