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The limiting extremal behaviour of speculative returns: an analysis of intra-daily data from the Frankfurt Stock Exchange

Citations

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Cited by:

  1. Westerhoff, Frank H. & Dieci, Roberto, 2006. "The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach," Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 293-322, February.
  2. G. D. Gettinby & C. D. Sinclair & D. M. Power & R. A. Brown, 2004. "An Analysis of the Distribution of Extreme Share Returns in the UK from 1975 to 2000," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5‐6), pages 607-646, June.
  3. 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.
  4. Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2008. "Are output growth-rate distributions fat-tailed? some evidence from OECD countries," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 639-669.
  5. Yamamoto, Ryuichi, 2019. "Dynamic Predictor Selection And Order Splitting In A Limit Order Market," Macroeconomic Dynamics, Cambridge University Press, vol. 23(5), pages 1757-1792, July.
  6. Rota, Mauro & Schettino, Francesco & Spinesi, Luca, 2017. "Key inventors, teams and firm performance: The Italian case," Structural Change and Economic Dynamics, Elsevier, vol. 42(C), pages 13-25.
  7. Ruggero Grilli & Gabriele Tedeschi & Mauro Gallegati, 2015. "Markets connectivity and financial contagion," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 10(2), pages 287-304, October.
  8. Grobys, Klaus, 2023. "Correlation versus co-fractality: Evidence from foreign-exchange-rate variances," International Review of Financial Analysis, Elsevier, vol. 86(C).
  9. Niklas Wagner & Terry Marsh, 2004. "Tail index estimation in small smaples Simulation results for independent and ARCH-type financial return models," Statistical Papers, Springer, vol. 45(4), pages 545-561, October.
  10. Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Economics Working Papers 2008-08, Christian-Albrechts-University of Kiel, Department of Economics.
  11. Silverberg, Gerald & Verspagen, Bart, 2007. "The size distribution of innovations revisited: An application of extreme value statistics to citation and value measures of patent significance," Journal of Econometrics, Elsevier, vol. 139(2), pages 318-339, August.
  12. Jose Fernandes & Augusto Hasman & Juan Ignacio Pena, 2007. "Risk premium: insights over the threshold," Applied Financial Economics, Taylor & Francis Journals, vol. 18(1), pages 41-59.
  13. Carolina Castaldi & Bart Los, 2008. "The identification of important innovations using tail estimators," Innovation Studies Utrecht (ISU) working paper series 08-07, Utrecht University, Department of Innovation Studies, revised Feb 2008.
  14. Carolina Castaldi & Koen Frenken & Bart Los, 2015. "Related Variety, Unrelated Variety and Technological Breakthroughs: An analysis of US State-Level Patenting," Regional Studies, Taylor & Francis Journals, vol. 49(5), pages 767-781, May.
  15. Chao Huang & Jin-Guan Lin, 2014. "Modified maximum spacings method for generalized extreme value distribution and applications in real data analysis," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 77(7), pages 867-894, October.
  16. G. D. Gettinby & C. D. Sinclair & D. M. Power & R. A. Brown, 2004. "An Analysis of the Distribution of Extreme Share Returns in the UK from 1975 to 2000," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5-6), pages 607-646.
  17. Chiarella, Carl & Iori, Giulia, 2009. "The impact of heterogeneous trading rules on the limit order book and order flows," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 525-537.
  18. Konstantinos Tolikas & Athanasios Koulakiotis & Richard A. Brown, 2007. "Extreme Risk and Value-at-Risk in the German Stock Market," The European Journal of Finance, Taylor & Francis Journals, vol. 13(4), pages 373-395.
  19. Grilli, Ruggero & Tedeschi, Gabriele & Gallegati, Mauro, 2014. "Bank interlinkages and macroeconomic stability," International Review of Economics & Finance, Elsevier, vol. 34(C), pages 72-88.
  20. Segnon, Mawuli & Lux, Thomas, 2013. "Multifractal models in finance: Their origin, properties, and applications," Kiel Working Papers 1860, Kiel Institute for the World Economy (IfW Kiel).
  21. Thomas Werner & Christian Upper, 2004. "Time variation in the tail behavior of Bund future returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(4), pages 387-398, April.
  22. Castaldi, Carolina & Milakovic, Mishael, 2007. "Turnover activity in wealth portfolios," Journal of Economic Behavior & Organization, Elsevier, vol. 63(3), pages 537-552, July.
  23. Luisanna Cocco & Michele Marchesi, 2016. "Modeling and Simulation of the Economics of Mining in the Bitcoin Market," PLOS ONE, Public Library of Science, vol. 11(10), pages 1-31, October.
  24. Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Kiel Working Papers 1426, Kiel Institute for the World Economy (IfW Kiel).
  25. Castaldi, Carolina & Los, Bart, 2017. "Geographical patterns in US inventive activity 1977–1998: The “regional inversion” was underestimated," Research Policy, Elsevier, vol. 46(7), pages 1187-1197.
  26. Suárez-García, Pablo & Gómez-Ullate, David, 2013. "Scaling, stability and distribution of the high-frequency returns of the Ibex35 index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1409-1417.
  27. Pan, Raj Kumar & Sinha, Sitabhra, 2008. "Inverse-cubic law of index fluctuation distribution in Indian markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(8), pages 2055-2065.
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