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Heavy tails in high-frequency financial data

Author

Listed:
  • Olivier V. Pictet
  • Michel M. Dacorogna
  • Ulrich A. Muller

Abstract

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Suggested Citation

  • Olivier V. Pictet & Michel M. Dacorogna & Ulrich A. Muller, 1996. "Heavy tails in high-frequency financial data," Working Papers 1996-12-11, Olsen and Associates.
    • Handle: RePEc:wop:olaswp:_016
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    File URL: http://www.olsen.ch/research/311_tailstatbook2.ps.zip
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    Cited by:

    1. Ibrahim Onour, "undated". "Extreme Risk and Fat-tails Distribution Model:Empirical Analysis," API-Working Paper Series 0911, Arab Planning Institute - Kuwait, Information Center.
    2. J. Doyne Farmer, 2000. "Physicists Attempt To Scale The Ivory Towers Of Finance," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 311-333.
    3. Pierre Giot, 2005. "Market risk models for intraday data," The European Journal of Finance, Taylor & Francis Journals, vol. 11(4), pages 309-324.
    4. Sayantan Ghosh & P. Manimaran & Prasanta K. Panigrahi, 2010. "Characterizing Multi-Scale Self-Similar Behavior and Non-Statistical Properties of Financial Time Series," Papers 1003.2539, arXiv.org, revised Dec 2010.
    5. Weshah Razzak, "undated". "On the GCC Currency Union," API-Working Paper Series 0910, Arab Planning Institute - Kuwait, Information Center.
    6. Nuyts, Jean & Platten, Isabelle, 2001. "Phenomenology of the term structure of interest rates with Padé Approximants," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(3), pages 528-546.
    7. Alan Collins & Chris Hand & Martin C. Snell, 2002. "What makes a blockbuster? Economic analysis of film success in the United Kingdom," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 23(6), pages 343-354.
    8. Dr. Ibrahim Onour, "undated". "The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries," API-Working Paper Series 1009, Arab Planning Institute - Kuwait, Information Center.
    9. Martina Nardon & Paolo Pianca, 2006. "Simulation techniques for generalized Gaussian densities," Working Papers 145, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    10. Mora Galán, Alberto & Pérez, Ana, 2004. "Stochastic volatility models and the Taylor effect," DES - Working Papers. Statistics and Econometrics. WS ws046315, Universidad Carlos III de Madrid. Departamento de Estadística.

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