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Time Variation in the Tail Behaviour of Bund Futures Returns. (2002). Upper, Christian ; Werner, Thomas.
In: Discussion Paper Series 1: Economic Studies.
RePEc:zbw:bubdp1:4190.

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Cited: 11

Citations received by this document

Cites: 13

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Cocites: 50

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Coauthors: 0

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Citations received by this document

  1. Correlation versus co-fractality: Evidence from foreign-exchange-rate variances. (2023). Grobys, Klaus.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000479.

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  2. The predictive power of power-laws: An empirical time-arrow based investigation. (2022). Kalda, Jaan ; di Tollo, Giacomo ; Andria, Joseph.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:162:y:2022:i:c:s096007792200635x.

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  3. Tail risk in the European sovereign bond market during the financial crises: Detecting the influence of the European Central Bank. (2021). Neumann, Christian ; Fendel, Ralf.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:50:y:2021:i:c:s1044028319302066.

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  4. Financial power laws: Empirical evidence, models, and mechanisms. (2016). Alfarano, Simone ; Lux, Thomas.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:88:y:2016:i:c:p:3-18.

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  5. BTP futures and cash relationships: a high frequency data analysis. (2016). Puorro, Alfonso ; Potente, Francesco ; Panzarino, Onofrio .
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_1083_16.

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  6. Long-term asset tail risks in developed and emerging markets. (2013). Straetmans, Stefan ; Candelon, Bertrand.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:6:p:1832-1844.

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  7. Estimating Financial Risk Measures for Futures Positions:A Non-Parametric Approach. (2011). cotter, john ; Dowd, Kevin.
    In: Working Papers.
    RePEc:ucd:wpaper:2006/13.

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  8. Extreme value theory for finance: a survey. (2011). Rocco, Marco .
    In: Questioni di Economia e Finanza (Occasional Papers).
    RePEc:bdi:opques:qef_99_11.

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  9. Feedback trading and intermittent market turbulence. (2009). TAMBAKIS, DEMOSTHENES.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:9:y:2009:i:4:p:477-489.

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  10. Feedback Trading and Intermittent Market Turbulence. (2008). TAMBAKIS, DEMOSTHENES.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0847.

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  11. Estimating financial risk measures for futures positions: a non-parametric approach. (2007). Dowd, Kevin ; cotter, john.
    In: MPRA Paper.
    RePEc:pra:mprapa:3503.

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References

References cited by this document

  1. Anderson, T., T. Bollerslev, F. X. Diebold, and P. Labys, 2001, The Distribution of Realized Exchange Rate Volatility, Journal of the American Statistical Association, 96, 4255.

  2. Bamberg, G., and G. Dorfleitner, 2001, Fat Tails and Traditional Capital Market Theory, mineo, University of Augsburg, Germany.
    Paper not yet in RePEc: Add citation now

  3. Brooks, C., S. P. Burke, and G. Persand, 2002, Autoregressive Conditonal Kurtosis, mimeo, ISMA Centre, University of Reading.

  4. Caers, J., J. Beirlant, and P. Vynckier, 1998, Bootstrap confidence intervals for tail indices, Computational Statistics and Data Analysis, 26, 259277.

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  7. Duffie, D., and A. Ziegler, 2001, Liquidation Risk, mimeo, Graduate School of Business, Stanford University and Ecole des HEC, University of Lausanne.
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  8. Embrechts, P., C. Kluppelberg, and T. Mikosch, 1997, Modelling Extremal Events, Springer, Berlin/Heidelberg/New-York.
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  9. Goldie, C. M., and C. Kluppelberg, 1998, Subexponential Distributions, in R. J. Adler, R. E. Feldman, and M. S. Taqqu (ed.), A Practical Guide to Heavy Tails, pp. 435459, Basel/Boston/Berlin. Birkhauser.
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  10. Gourieroux, C., and J. Jasiak, 2001, Financial Econometrics, Princeton University Press, Princeton.
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  11. Kim, J.-R., 2002, The stable long-run CAPM and cross-section of expected returns, Discussion paper 05/02, Economic Research Centre of the Deutsche Bundesbank.

  12. Lux, T., 2001, The limiting extremal behaviour of speculative returns: an analysis of intra-daily data from the Frankfurt Stock Exchange, Applied Financial Economics, 11, 299315.

  13. Mandelbrot, B. B., 1963, The Variation of Certain Speculative Prices, Journal of Business, 36, 394419.

Cocites

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  11. Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility. (2006). Kim, Jae ; Galvão, Ana ; Clements, Michael ; Galvo, Ana Beatriz.
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  12. Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew.
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