-
1
-
-
0001599683
-
Limiting theorems for the maximum term in stationary sequences
-
Berman, S. M. 1964. Limiting theorems for the maximum term in stationary sequences. Annals of Mathematical Statistics 35:502-16.
-
(1964)
Annals of Mathematical Statistics
, vol.35
, pp. 502-516
-
-
Berman, S.M.1
-
3
-
-
29444451851
-
Extremal behavior of solutions to a stochastic difference equation with applications to ARCH process
-
De Haan, L.; Resnick, I. S.; Rootzèn, H.; and De Vries, C. G. 1989. Extremal behavior of solutions to a stochastic difference equation with applications to ARCH process. Stochastic Processes and Their Applications 32:213-24.
-
(1989)
Stochastic Processes and Their Applications
, vol.32
, pp. 213-224
-
-
De Haan, L.1
Resnick, I.S.2
Rootzèn, H.3
De Vries, C.G.4
-
4
-
-
0001591373
-
On the estimation of the extreme value index and large quantile estimation
-
Dekkers, A. L. M., and De Haan, L. 1989. On the estimation of the extreme value index and large quantile estimation. Annals of Statistics 17:1795-1832.
-
(1989)
Annals of Statistics
, vol.17
, pp. 1795-1832
-
-
Dekkers, A.L.M.1
De Haan, L.2
-
5
-
-
84993884518
-
Capital requirements for securities firms
-
Dimson, E., and Marsh, P. 1995. Capital requirements for securities firms. Journal of Finance 50:821-51.
-
(1995)
Journal of Finance
, vol.50
, pp. 821-851
-
-
Dimson, E.1
Marsh, P.2
-
6
-
-
0000051984
-
Auto-regressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation
-
Engle, R. F. 1982. Auto-regressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50:987-1007.
-
(1982)
Econometrica
, vol.50
, pp. 987-1007
-
-
Engle, R.F.1
-
7
-
-
0001652452
-
Mandelbrot and the stable paretian hypothesis
-
Fama, E. 1963. Mandelbrot and the stable Paretian hypothesis. Journal of Business 36:420-29.
-
(1963)
Journal of Business
, vol.36
, pp. 420-429
-
-
Fama, E.1
-
8
-
-
0002528209
-
The behavior of stock market prices
-
Fama, E. 1965. The behavior of stock market prices. Journal of Business 38:34-65.
-
(1965)
Journal of Business
, vol.38
, pp. 34-65
-
-
Fama, E.1
-
11
-
-
0001578670
-
Market liquidity, hedging, and crashes
-
Gennotte, G., and Leland, H. 1990. Market liquidity, hedging, and crashes. American Economic Review 80:999-1021.
-
(1990)
American Economic Review
, vol.80
, pp. 999-1021
-
-
Gennotte, G.1
Leland, H.2
-
12
-
-
0000005110
-
Sur la distribution limite du terme maximum d'une série aléatoire
-
Gnedenko, B. V. 1943. Sur la distribution limite du terme maximum d'une série aléatoire. Annals of Mathematics 44:423-53.
-
(1943)
Annals of Mathematics
, vol.44
, pp. 423-453
-
-
Gnedenko, B.V.1
-
13
-
-
0003062471
-
Slow variation with remainder: Theory and applications
-
Goldie, C. M., and Smith, R. L. 1987. Slow variation with remainder: Theory and applications. Quarterly Journal of Mathematics, Oxford 2d ser., 38:45-71.
-
(1987)
Quarterly Journal of Mathematics, Oxford 2d Ser.
, vol.38
, pp. 45-71
-
-
Goldie, C.M.1
Smith, R.L.2
-
15
-
-
0001263124
-
A simple general approach to inference about the tail of a distribution
-
Hill, B. M. 1975. A simple general approach to inference about the tail of a distribution. Annals of Statistics 46:1163-73.
-
(1975)
Annals of Statistics
, vol.46
, pp. 1163-1173
-
-
Hill, B.M.1
-
16
-
-
0000974326
-
On the frequency of large stock returns: Putting booms and busts into perspectives
-
Jansen, D. W., and De Vries, C. G. 1991. On the frequency of large stock returns: Putting booms and busts into perspectives. Review of Economics and Statistics 73:18-24.
-
(1991)
Review of Economics and Statistics
, vol.73
, pp. 18-24
-
-
Jansen, D.W.1
De Vries, C.G.2
-
17
-
-
84904261422
-
The frequency distribution of the annual maximum (or minimum) values of meteorological elements
-
Jenkinson, A. F. 1955. The frequency distribution of the annual maximum (or minimum) values of meteorological elements. Quarterly Journal of the Royal Meteorology Society 87:145-58.
-
(1955)
Quarterly Journal of the Royal Meteorology Society
, vol.87
, pp. 145-158
-
-
Jenkinson, A.F.1
-
18
-
-
0039671598
-
Financial market panics and volatility in the long run, 1930-1988
-
In E. N. White (ed.), New York: Business One Irwin
-
Jones, C. P.; Sylla, R. E.; and Wilson, J. W. 1988. Financial market panics and volatility in the long run, 1930-1988. In E. N. White (ed.), Crashes and Panics. New York: Business One Irwin.
-
(1988)
Crashes and Panics
-
-
Jones, C.P.1
Sylla, R.E.2
Wilson, J.W.3
-
20
-
-
84944833166
-
Models of stock returns: A comparison
-
Kon, S. 1984. Models of stock returns: A comparison. Journal of Finance 39:147-65.
-
(1984)
Journal of Finance
, vol.39
, pp. 147-165
-
-
Kon, S.1
-
24
-
-
0000119560
-
Testing the covariance stationarity of heavy-tailed time series
-
Loretan, M., and Phillips, P. C. B. 1994. Testing the Covariance Stationarity of Heavy-Tailed Time Series. Journal of Empirical Finance 1:211-48.
-
(1994)
Journal of Empirical Finance
, vol.1
, pp. 211-248
-
-
Loretan, M.1
Phillips, P.C.B.2
-
25
-
-
0001504360
-
The variation of certain speculative prices
-
Mandelbrot, B. 1963. The variation of certain speculative prices. Journal of Business 36:394-419.
-
(1963)
Journal of Business
, vol.36
, pp. 394-419
-
-
Mandelbrot, B.1
-
26
-
-
0000782528
-
Laws of large numbers for sums of extreme values
-
Mason, D. M. 1982. Laws of large numbers for sums of extreme values. Annals of Probability 10:754-64.
-
(1982)
Annals of Probability
, vol.10
, pp. 754-764
-
-
Mason, D.M.1
-
27
-
-
0000723766
-
Continuous time processes with stable increment
-
McCulloch, J. H. 1978. Continuous time processes with stable increment. Journal of Business 51:601-19.
-
(1978)
Journal of Business
, vol.51
, pp. 601-619
-
-
McCulloch, J.H.1
-
28
-
-
0842316847
-
ARCH models as diffusion approximations
-
Nelson, D. B. 1990. ARCH models as diffusion approximations. Journal of Econometrics 45:7-38.
-
(1990)
Journal of Econometrics
, vol.45
, pp. 7-38
-
-
Nelson, D.B.1
-
29
-
-
0002484781
-
The extreme value method for estimating the variance ot the rate of returns
-
Parkinson, M. 1980. The extreme value method for estimating the variance ot the rate of returns. Journal of Business 53:61-65.
-
(1980)
Journal of Business
, vol.53
, pp. 61-65
-
-
Parkinson, M.1
-
30
-
-
0001075431
-
Statistical inference using extreme order statistics
-
Pickands, J. 1975. Statistical inference using extreme order statistics. Annals of Statistics 3:119-31.
-
(1975)
Annals of Statistics
, vol.3
, pp. 119-131
-
-
Pickands, J.1
-
31
-
-
0002370531
-
The distribution of share price changes
-
Praetz, P. D. 1972. The distribution of share price changes. Journal of Business 45:49-55.
-
(1972)
Journal of Business
, vol.45
, pp. 49-55
-
-
Praetz, P.D.1
-
32
-
-
0000996594
-
A compound events model for security prices
-
Press, S. J. 1967. A compound events model for security prices. Journal of Business 45:49-55.
-
(1967)
Journal of Business
, vol.45
, pp. 49-55
-
-
Press, S.J.1
-
34
-
-
0001735652
-
Indexes of U.S. stock prices from 1802 to 1987
-
Schwert, W. G. 1990a. Indexes of U.S. stock prices from 1802 to 1987. Journal of Business 63:399-427.
-
(1990)
Journal of Business
, vol.63
, pp. 399-427
-
-
Schwert, W.G.1
-
35
-
-
0002025664
-
Stock volatility and the crash of '87
-
Schwert, W.G. 1990b. Stock volatility and the crash of '87. Review of Financial Studies 3:77-102.
-
(1990)
Review of Financial Studies
, vol.3
, pp. 77-102
-
-
Schwert, W.G.1
|