Extremal Forex Returns in Extremely Large Data Sets

By Michel M. Dacorogna, Ulrich A. Müller, O. Pictet, C. de Vries. 2001

82 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/aa08a0561ada4578a561c6174b54be2b1241a75d

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In Economics and Econometrics

1. John Cotter
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2. Marco Rocco

Citations in the corpus

• On time-scaling of risk and the square-root-of-time rule (2006, unknown): “The bias in using the square–root–of–time rule to scale quantiles in the fat-tailed (in particular the stable non-normal) iid case can be studied along the lines of Dacorogna et al. (2001).”
• Varying the VaR for unconditional and conditional environments (2007, background): “More importantly, the tail index estimates, 1/α, are most efficient at highest frequencies due to their fractal nature (Dacorogna et al., 1995).”