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The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks
11 references·16 citing·35 second hop
The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks (1996)The stable Paretian hypothesis and the fr…Allgemeines Statistisches Archiv (2005)Allgemeines Statistisches Arc…The variation of certain speculative prices (1997)The variation of certain spec…Herd Behaviour, Bubbles and Crashes (1995)Herd Behaviour, Bubbles and C…Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets (1994)Testing the covariance statio…On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1991)On the Frequency of Large Sto…The tail index of exchange rate returns (1990)The tail index of exchange ra…On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1989)On the Frequency of Large Sto…Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes (1989)Extremal behaviour of solutio…The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement (1982)The Distribution of Foreign E…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Mandelbrot and the Stable Paretian Hypothesis (1963)Mandelbrot and the Stable Par…Multiscale characteristics of the emerging global cryptocurrency market (2020)Multiscale characteristics of…An empirical behavioral model of liquidity and volatility (2007)An empirical behavioral model…Agent-based models of financial markets (2007)Agent-based models of financi…Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model (2005)Estimation of Agent-Based Mod…What really causes large price changes? 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(2004)Can one make any crash predic…Testing the Gaussian copula hypothesis for financial assets dependences (2003)Testing the Gaussian copula h…Statistical properties of stock order books: empirical results and models (2002)Statistical properties of sto…Quantifying stock-price response to demand fluctuations (2002)Quantifying stock-price respo…An introduction to statistical finance (2002)An introduction to statistica…Transmission of Information and Herd Behavior: An Application to Financial Markets (2000)Transmission of Information a…Statistical properties of share volume traded in financial markets (2000)Statistical properties of sha…Economic fluctuations and anomalous diffusion (2000)Economic fluctuations and ano…Multiscale characteristics of the emerging global cryptocurrency marketMultiscale characteristics of…The Distribution of Share Price Changes (1972)Estimating Tails of Probability Distributions (1987)Optimal portfolio selection in a Value-at-Risk framework (2001)Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation (2001)Power Laws in Economics and Finance (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)Scaling of the distribution of price fluctuations of individual companies (1999)From value at risk to stress testing: The extreme value approach (2000)Mean Reversion in Stock Prices: Evidence and Implications (1987)Herd Behavior and Investment (1988)Noise Trader Risk in Financial Markets (1990)VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Heterogeneous Agent Models in Economics and Finance (2005)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Introduction to Econophysics (1999)Empirical properties of asset returns: stylized facts and statistical issues (2001)Statistical theory of the continuous double auction (2003)Econophysics review: I. 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this work references cited by second hop

References

  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1995Herd Behaviour, Bubbles and Crashes1,054 cited
  • 1963Mandelbrot and the Stable Paretian Hypothesis828 cited
  • 1994Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets517 cited
  • 1991On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective448 cited
  • 2005Allgemeines Statistisches Archiv426 cited
  • 1989On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective425 cited
  • 1982The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement308 cited
  • 1990The tail index of exchange rate returns252 cited
  • 1989Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes250 cited

Cited by

  • 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes370 cited
  • 2002Statistical properties of stock order books: empirical results and models358 cited
  • 2005Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model350 cited

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2002
An introduction to statistical finance
348 cited
  • 2000Statistical properties of share volume traded in financial markets320 cited
  • 2007Agent-based models of financial markets316 cited
  • 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes295 cited
  • 2000Transmission of Information and Herd Behavior: An Application to Financial Markets283 cited
  • 2004What really causes large price changes?276 cited
  • 2000Economic fluctuations and anomalous diffusion265 cited
  • 2007An empirical behavioral model of liquidity and volatility261 cited
  • 2004Can one make any crash prediction in finance using the local Hurst exponent idea?252 cited
  • 2020Multiscale characteristics of the emerging global cryptocurrency market241 cited
  • 2002Quantifying stock-price response to demand fluctuations232 cited
  • n.d.Multiscale characteristics of the emerging global cryptocurrency market211 cited
  • 2003Testing the Gaussian copula hypothesis for financial assets dependences198 cited