Heavy Tails in High-frequency Financial Data
Preprint
- 1 January 1997
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
We perform a tail index estimation of financial asset returns in two markets: the foreign exchange market and the interbank market of cash interest rates. ThankKeywords
All Related Versions
This publication has 12 references indexed in Scilit:
- From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange marketsFinance and Stochastics, 1997
- Some Properties of Absolute Return: An Alternative Measure of RiskAnnales D'economie Et de Statistique, 1995
- Safety First Portfolio Selection, Extreme Value Theory and Long Run Asset RisksPublished by Springer Nature ,1994
- Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasetsJournal of Empirical Finance, 1994
- A geographical model for the daily and weekly seasonal volatility in the foreign exchange marketJournal of International Money and Finance, 1993
- The limiting distribution of extremal exchange rate returnsJournal of Applied Econometrics, 1991
- Minute by minute: Efficiency, normality, and randomness in intra-daily asset pricesJournal of Applied Econometrics, 1987
- The statistical distribution of exchange rates: Empirical evidence and economic implicationsJournal of International Economics, 1987
- Generalized autoregressive conditional heteroskedasticityJournal of Econometrics, 1986
- The Behavior of Foreign Exchange RatesJournal of International Business Studies, 1982