Acemoglu, D. ; Carvalho, V.M. ; Ozdaglar, A. ; Tahbaz-Salehi, A. The network origins of aggregate uctuations. 2012 Econometrica. 80 1977-2016
Acemoglu, D. ; Ozdaglar, A. ; Tahbaz-Salehi, A. Microeconomic origins of macroeconomic tail risks. 2017 Am. Econ. Rev.. 107 54-108
Aloui, R. ; Aïssa, M.S.B. ; Nguyen, D.K. Global financial crisis, extreme interdependences, and contagion effects: the role of economic structure?. 2011 J. Bank. Financ.. 35 130-141
Ankudinov, A. ; Ibragimov, R. ; Lebedev, O. Heavy tails and asymmetry of returns in the russian stock market. 2017 Emerg. Mark. Rev.. 32 200-219
Assaf, A. Extreme observations and risk assessment in the equity markets of MENA region: Tail measures and Value-at-Risk. 2009 Int. Rev. Financ. Anal.. 18 109-116
- Axtell, R.L. Zipf distribution of US firm sizes. 2001 Science. 293 1818-1820
Paper not yet in RePEc: Add citation now
Barber, B.M. ; Odean, T. Trading is hazardous to your wealth: the common stock investment performance of individual investors. 2000 J. Financ.. 55 773-806
Basrak, B. ; Davis, R.A. ; Mikosch, T. Regular variation of GARCH processes. 2002 Stoch. Process. Appl.. 99 95-115
Blattberg, R.C. ; Gonedes, N.J. A comparison of the stable and Student distributions as statistical models for stock prices. 1974 J. Bus.. 47 244-280
Bollerslev, T. ; Todorov, V. ; Xu, L. Tail risk premia and return predictability. 2015 J. Financ. Econ.. 118 113-134
- Brillinger, D.R. Estimation of the mean of a stationary time series by sampling. 1973 J. Appl. Probab.. 10 419-431
Paper not yet in RePEc: Add citation now
Brown, S.J. ; Goetzmann, W. ; Ibbotson, R.G. ; Ross, S.A. Survivorship bias in performance studies. 1992 Rev. Financ. Stud.. 5 553-580
Cai, C.X. ; McGuinness, P.B. ; Zhang, Q. The pricing dynamics of cross-listed securities: the case of Chinese A-and H-shares. 2011 J. Bank. Financ.. 35 2123-2136
- Campbell, J.Y. ; Lo, A.W.-C. ; MacKinlay, A.C. The Econometrics of Financial Markets. 1997 Princeton University Press:
Paper not yet in RePEc: Add citation now
Candelon, B. ; Straetmans, S. Testing for multiple regimes in the tail behavior of emerging currency returns. 2006 J. Int. Money Financ.. 25 1187-1205
Carpenter, J.N. ; Lynch, A.W. Survivorship bias and attrition effects in measures of performance persistence. 1999 J. Financ. Econ.. 54 337-374
Chen, H. ; Zhu, Y. An empirical study on the threshold cointegration of Chinese A and H cross-listed shares. 2015 J. Appl. Stat.. 42 2406-2419
Cho, D.D. ; Russell, J. ; Tiao, G.C. ; Tsay, R. The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange. 2003 J. Empir. Financ.. 10 133-168
Cont, R. Empirical properties of asset returns: Stylized facts and statistical issues. 2001 Quantitative Finance. 1 223-236
Cont, R. ; Bouchaud, J.-P. Herd behavior and aggregate fluctuations in financial markets. 2000 Macroecon. Dyn.. 4 170-196
Danielsson, J. ; de Haan, L. ; Peng, L. ; de Vries, C.G. Using a bootstrap method to choose the sample fraction in tail index estimation. 2001 J. Multivar. Anal.. 76 226-248
- Davis, R.A. ; Mikosch, T. Limit theory for the sample ACF of stationary process with heavy tails with applications to ARCH. 1998 Ann. Stat.. 26 2049-2080
Paper not yet in RePEc: Add citation now
- Drees, H. ; De Haan, L. ; Resnick, S. How to make a Hill plot. 2000 Ann. Stat.. 254-274
Paper not yet in RePEc: Add citation now
Eaton, J. ; Kortum, S. ; Kramarz, F. An anatomy of international trade: evidence from French firms. 2011 Econometrica. 79 1453-1498
- Embrechts, P. ; Klûppelberg, C. ; Mikosch, T. Modelling Extremal Events: For Insurance and Finance. 1997 Springer Science & Business Media:
Paper not yet in RePEc: Add citation now
Fernald, J. ; Rogers, J.H. Puzzles in the Chinese stock market. 2002 Rev. Econ. Stat.. 84 416-432
Gabaix, X. Power laws in economics and finance. 2009 Annu. Rev. Econ.. 1 255-294
Gabaix, X. Power laws in economics: an introduction. 2016 J. Econ. Perspect.. 30 185-205
Gabaix, X. Zipfs law for cities: an explanation. 1999 Q. J. Econ.. 114 739-767
Gabaix, X. ; Gopikrishnan, P. ; Plerou, V. ; Stanley, H.E. Institutional investors and stock market volatility. 2006 Q. J. Econ.. 121 461-504
Gabaix, X. ; Ibragimov, R. Rank- 1/2: a simple way to improve the OLS estimation of tail exponents. 2011 J. Bus. Econ. Stat.. 29 24-39
Gabaix, X. ; Landier, A. Why has CEO pay increased so much?. 2008 Q. J. Econ.. 123 49-100
Galbraith, J.W. ; Zernov, S. Circuit breakers and the tail index of equity returns. 2004 J. Financial Econometrics. 2 109-129
Gatev, E. ; Goetzmann, W.N. ; Rouwenhorst, K.G. Pairs trading: Performance of a relative-value arbitrage rule. 2006 Rev. Financ. Stud.. 19 797-827
Gopikrishnan, P. ; Plerou, V. ; Amaral, L.A.N. ; Meyer, M. ; Stanley, H.E. Scaling of the distribution of fluctuations of financial market indices. 1999 Phys. Rev. E. 60 5305-
Gopikrishnan, P. ; Plerou, V. ; Gabaix, X. ; Stanley, H.E. Statistical properties of share volume traded in _nancial markets. 2000 Phys. Rev. E. 62 R4493-
- Hall, P. On some simple estimates of an exponent of regular variation. 1982 J. R. Stat. Soc. Ser. B Methodol.. 37-42
Paper not yet in RePEc: Add citation now
Hall, P. Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems. 1990 J. Multivar. Anal.. 32 177-203
Hartmann, P. ; Straetmans, S. ; De Vries, C.G. Asset market linkages in crisis periods. 2004 Rev. Econ. Stat.. 86 313-326
- Hertz, E. The Trading Crowd: An Ethnography of the Shanghai Stock Market. 1998 Cambridge University Press:
Paper not yet in RePEc: Add citation now
- Hill, B.M. A simple general approach to inference about the tail of a distribution. 1975 Ann. Stat.. 3 1163-1174
Paper not yet in RePEc: Add citation now
Huisman, R. ; Koedijk, K.G. ; Kool, C.J.M. ; Palm, F. Tail-index estimates in small samples. 2001 J. Bus. Econ. Stat.. 19 208-216
- Ibragimov, M. ; Ibragimov, R. Heavy tails and upper-tail inequality: the case of Russia. 2017 Empir. Econ.. 1-15
Paper not yet in RePEc: Add citation now
Ibragimov, M. ; Ibragimov, R. ; Kattuman, P. Emerging markets and heavy tails. 2013 J. Bank. Financ.. 37 2546-2559
- Ibragimov, M. ; Ibragimov, R. ; Walden, J. Heavy-Tailed Distributions and Robustness in Economics and Finance. 2015 Springer:
Paper not yet in RePEc: Add citation now
Ibragimov, R. Efficiency of linear estimators under heavy-tailedness: convolutions of α-symmetric distributions. 2007 Econometric Theory. 23 501-517
- Ibragimov, R. Heavy-tailed densities. 2009 En : Durlauf, S.N. ; Blume, L.E. The New Palgrave Dictionary of Economics. Palgrave Macmillan:
Paper not yet in RePEc: Add citation now
Ibragimov, R. ; Jaffee, D. ; Walden, J. Diversification disasters. 2011 J. Financ. Econ.. 99 333-348
- Ibragimov, R. ; Jaffee, D. ; Walden, J. Nondiversification traps in catastrophe insurance markets. 2008 Rev. Financ. Stud.. 22 959-993
Paper not yet in RePEc: Add citation now
Ibragimov, R. ; Müller, U.K. Inference with few heterogeneous clusters. 2016 Rev. Econ. Stat.. 98 83-96
Ibragimov, R. ; Müller, U.K. t-statistic based correlation and heterogeneity robust inference. 2010 J. Bus. Econ. Stat.. 28 453-468
Ibragimov, R. ; Prokhorov, A. Heavy Tails and Copulas: Topics in Dependence Modelling in Economics and Finance. 2017 World Scientific:
Ibragimov, R. ; Walden, J. Optimal bundling strategies under heavy-tailed valuations. 2010 Manag. Sci.. 56 1963-1976
Jansen, D.W. ; De Vries, C.G. On the frequency of large stock returns: putting --booms and busts into perspective. 1991 Rev. Econ. Stat.. 18-24
Jondeau, E. ; Rockinger, M. Testing for differences in the tails of stock-market returns. 2003 J. Empir. Financ.. 10 559-581
Keller, W. ; Yeaple, S.R. The gravity of knowledge. 2013 Am. Econ. Rev.. 103 1414-1444
Kelly, B. ; Jiang, H. Tail risk and asset prices. 2014 Rev. Financ. Stud.. 27 2841-2871
Kim, K.A. Price limits and stock market volatility. 2001 Econ. Lett.. 71 131-136
Kim, K.A. ; Rhee, S. Price limit performance: evidence from the Tokyo Stock Exchange. 1997 J. Financ.. 52 885-901
- Koedijk, K.G. ; Schafgans, M.M. ; De Vries, C.G. The tail index of exchange rate returns. 1990 J. Int. Econ.. 29 93-108
Paper not yet in RePEc: Add citation now
Koedijk, K.G. ; Stork, P.A. ; de Vries, C.G. Differences between foreign exchange rate regimes: the view from the tails. 1992 J. Int. Money Financ.. 11 462-473
Kyle, A.S. ; Obizhaeva, A.A. Market microstructure invariance: Empirical hypotheses. 2016 Econometrica. 84 1345-1404
Liu, J. ; Timmermann, A. Optimal convergence trade strategies. 2013 Rev. Financ. Stud.. 26 1048-1086
Loretan, M. ; Phillips, P.C. Testing the covariance stationarity of heavy-tailed time series: an overview of the theory with applications to several financial datasets. 1994 J. Empir. Financ.. 1 211-248
Mandelbrot, B. The variation of certain speculative prices. 1963 J. Bus.. 36 394-419
Mensi, W. ; Hammoudeh, S. ; Reboredo, J.C. ; Nguyen, D.K. Do global factors impact BRICS stock markets? A quantile regression approach. 2014 Emerg. Mark. Rev.. 19 1-17
- Mikosch, T. ; Starica, C. Limit theory for the sample autocorrelations and extremes of a GARCH (1, 1) process. 2000 Ann. Stat.. 1427-1451
Paper not yet in RePEc: Add citation now
Ng, L. ; Wu, F. The trading behavior of institutions and individuals in Chinese equity markets. 2007 J. Bank. Financ.. 31 2695-2710
Odean, T. Are investors reluctant to realize their losses?. 1998 J. Financ.. 53 1775-1798
- Pickands, J. Statistical inference using extreme order statistics. 1975 Ann. Stat.. 119-131
Paper not yet in RePEc: Add citation now
Plerou, V. ; Gopikrishnan, P. ; Gabaix, X. ; Amaral, L.N. ; Stanley, H.E. Price fluctuations, market activity and trading volume. 2001 Quantitative Finance. 1 262-269
Quintos, C. ; Fan, Z. ; Phillips, P.C. Structural change tests in tail behaviour and the Asian crisis. 2001 Rev. Econ. Stud.. 68 633-663
Su, Q. ; Chong, T.T.-L. ; Yan, I.K.-M. On the convergence of the Chinese and Hong Kong stock markets: a cointegration analysis of the A and H shares. 2007 Appl. Financ. Econ.. 17 1349-1357
Yan, C. ; Zhang, J. ; Zhang, Y. ; Tang, Y. Power–law properties of Chinese stock market. 2005 Physica A. 353 425-432
Zhang, J. ; Chen, Q. ; Wang, Y. Zipf distribution in top Chinese firms and an economic explanation. 2009 Physica A. 388 2020-2024
Zhang, J. ; Zhang, Y. ; Kleinert, H. power tails of index distributions in Chinese stock market. 2007 Physica A. 377 166-172
- Zhang, R. and Zhang, T. (2017), Understanding AH premium in Chinese stock market’, Available from: http://tongbinzhang.weebly.com/uploads/9/1/6/6/91669244/draft.pdf. [Accessed: 10th August 2017].
Paper not yet in RePEc: Add citation now
- Zipf, G.K. Human Behavior and the Principle of Least Effort. 1949 Addison-Wesley: Cambridge
Paper not yet in RePEc: Add citation now