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Do financial returns have finite or infinite variance? A paradox and an explanation
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Do financial returns have finite or infinite variance? A paradox and an explanation (2010)Do financial returns have finite or infin…Understanding Heavy Tails in a Bounded World or, is a Truncated Heavy Tail Heavy or Not? (2012)Understanding Heavy Tails in …Tempering stable processes (2006)Tempering stable processesStochastic Volatility for Lévy Processes (2003)Stochastic Volatility for Lév…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…An Introduction to High-Frequency Finance (2001)An Introduction to High-Frequ…The supremum of a negative drift random walk with dependent heavy-tailed steps (2000)The supremum of a negative dr…Stable Paretian Models in Finance (2000)Stable Paretian Models in Fin…The variation of certain speculative prices (1997)The variation of certain spec…Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)Normal Inverse Gaussian Distr…Modelling Extremal Events (1997)Modelling Extremal EventsModelling of extremal events in insurance and finance (1994)Modelling of extremal events …The Distribution of Stock Returns: New Evidence Against the Stable Model (1990)The Distribution of Stock Ret…The Stable-Law Model of Stock Returns (1988)The Stable-Law Model of Stock…A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)A Comparison of the Stable an…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Extreme Values, Regular Variation and Point Processes (1987)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Hyperbolic Distributions in Finance (1995)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Stochastic Integration and Differential Equations (2005)Models for construction of multivariate dependence – a comparison study (2008)The Volatility of Realized Volatility (2008)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Time-changed Lévy processes and option pricing (2003)Theory of rational option pricing (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Tails, Fears, and Risk Premia (2011)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Option values under stochastic volatility: Theory and empirical estimates (1987)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Chapter 49 Arch models (1994)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Microstructure noise in the continuous case: The pre-averaging approach (2008)Realized kernels in practice: trades and quotes (2009)
this work references cited by second hop

References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1997Modelling Extremal Events4,397 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 1997Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling1,022 cited
  • 2001An Introduction to High-Frequency Finance956 cited
  • 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices903 cited
  • 2003Stochastic Volatility for Lévy Processes871 cited
  • 2000Stable Paretian Models in Finance718 cited
  • 2006Tempering stable processes545 cited
  • 1988The Stable-Law Model of Stock Returns240 cited
  • 1990The Distribution of Stock Returns: New Evidence Against the Stable Model140 cited
  • 2000The supremum of a negative drift random walk with dependent heavy-tailed steps124 cited
  • 2012Understanding Heavy Tails in a Bounded World or, is a Truncated Heavy Tail Heavy or Not?

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