References

• 1987Extreme Values, Regular Variation and Point Processes3,165 cited
• 1989A Moment Estimator for the Index of an Extreme-Value Distribution697 cited
• 1982On Some Simple Estimates of an Exponent of Regular Variation564 cited
• 1994Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets517 cited
• 1996The Asymptotic Distribution of Extreme Stock Market Returns510 cited
• 1993Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes490 cited
• 1991On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective448 cited
• 1989On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective425 cited
• 1995Simulation and Chaotic Behaviour of α-Stable Stochastic Processes.278 cited
• 1982Laws of Large Numbers for Sums of Extreme Values278 cited
• 1990The tail index of exchange rate returns252 cited
• 1996The qq-estimator and heavy tails203 cited
• 1997Measuring Tail Thickness to Estimate the Stable Index α: A Critique183 cited
• 1991The limiting distribution of extremal exchange rate returns133 cited
• 1993Optimal Choice of Sample Fraction in Extreme-Value Estimation