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Applied Financial Economics Volume 11, 2001 - Issue 3
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Original Articles

The limiting extremal behaviour of speculative returns: an analysis of intra-daily data from the Frankfurt Stock Exchange

Thomas Lux
Pages 299-315 | Published online: 07 Oct 2010

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Mauro Bernardi, Leopoldo Catania & Lea Petrella. (2017) Are news important to predict the Value-at-Risk?. The European Journal of Finance 23:6, pages 535-572.
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Carolina Castaldi, Koen Frenken & Bart Los. (2015) Related Variety, Unrelated Variety and Technological Breakthroughs: An analysis of US State-Level Patenting. Regional Studies 49:5, pages 767-781.
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Chin Wen Cheong. (2010) Optimal choice of sample fraction in univariate financial tail index estimation. Journal of Applied Statistics 37:12, pages 2043-2056.
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Simone Alfarano, Friedrich Wagner & Mishael Milaković. (2008) A nonparametric approach tothe noise density in stochastic volatility models. Applied Financial Economics Letters 4:5, pages 311-314.
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Andrea Morone. (2008) Financial markets in the laboratory: an experimental analysis of some stylized facts. Quantitative Finance 8:5, pages 513-532.
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José L. B. Fernandes, Augusto Hasman & Juan Ignacio Peña. (2008) Risk premium: insights over the threshold. Applied Financial Economics 18:1, pages 41-59.
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Konstantinos Tolikas, Athanasios Koulakiotis & Richard A. Brown. (2007) Extreme Risk and Value-at-Risk in the German Stock Market. The European Journal of Finance 13:4, pages 373-395.
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Y. Malevergne, V. Pisarenko & D. Sornette. (2006) On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns. Applied Financial Economics 16:3, pages 271-289.
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Konstantinos Tolikas & RichardA. Brown. (2006) The distribution of the extreme daily share returns in the Athens stock exchange. The European Journal of Finance 12:1, pages 1-22.
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John Oden, Kevin Hurt & Susan Gentry. (2017) Conditional Heavy Tails and the Stock Market Returns in Germany. SSRN Electronic Journal.
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