Are asset return tail estimations related to volatility long-range correlations?-Reference-Cited by-同舟云学术

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Are asset return tail estimations related to volatility long-range correlations?

Published:2006-10 Issue:1 Volume:370 Page:119-126
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Bacry Emmanuel,Kozhemyak Alexey,Muzy Jean-François

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference29 articles.

1. An Introduction to High-Frequency Finance;Dacorogna,2001

2. Theory of Financial Risk and Derivative Pricing;Bouchaud,2003

3. An Introduction to Econophysics;Mantegna,2000

4. Why Stock Markets Crash?;Sornette,2003

5. A theory of power law distributions in financial market fluctuations;Gabaix;Nature,2003

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1. New perspectives on bank risk in Malaysia;Cogent Economics & Finance;2017-01-01

2. Autocorrelation type, timescale and statistical property in financial time series;Physica A: Statistical Mechanics and its Applications;2013-04

3. Baldovin-Stella stochastic volatility process and Wiener process mixtures;The European Physical Journal B;2012-08

4. Goodness-of-fit tests with dependent observations;Journal of Statistical Mechanics: Theory and Experiment;2011-09-05

5. The Ups and Downs of Modeling Financial Time Series with Wiener Process Mixtures;SSRN Electronic Journal;2008

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