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2. Multifractal Analysis of African Stock Markets During the 2007–2008 US Crisis. (2020). Tilfani, Oussama ; el Boukfaoui, My Youssef.
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3. The Zumbach effect under rough Heston. (2018). Radoivci, Radovs ; el Euch, Omar ; Rosenbaum, Mathieu ; Gatheral, Jim.
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4. Evidence of Self-Organization in Time Series of Capital Markets. (2017). Morales-Matamoros, Oswaldo ; Soto-Campos, Carlos Arturo ; Garc, Alba Lucero .
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5. Power law scaling and “Dragon-Kings” in distributions of intraday financial drawdowns. (2015). Filimonov, Vladimir ; Sornette, Didier.
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6. Multiplicative noise, fast convolution and pricing. (2014). Cazzaniga, Sofia ; Bormetti, Giacomo.
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7. Research on the evolution of stock correlation based on maximal spanning trees. (2014). Chen, Yanhua ; Zhu, Xueshuai ; Li, Qian ; Deng, Qiangqiang ; Yang, Chunxia.
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8. The dynamics of financial stability in complex networks. (2012). Lind, P. ; Cruz, J..
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9. Baldovin-Stella stochastic volatility process and Wiener process mixtures. (2012). Peirano, Pier Paolo ; Challet, Damien.
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10. Baldovin-Stella stochastic volatility process and Wiener process mixtures. (2012). Peirano, Pier Paolo ; Challet, Damien ; Peiranno, Pier Paolo .
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11. Multiplicative noise, fast convolution, and pricing. (2011). Cazzaniga, Sofia ; Bormetti, Giacomo.
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12. Market panic on different time-scales. (2010). Hassid, Yoan ; Borland, Lisa.
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13. Distinguishing between short and long range dependence: Finite sample properties of rescaled range and modified rescaled range. (2009). Krištoufek, Ladislav.
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14. The ups and downs of the renormalization group applied to financial time series. (2008). Peirano, Pier Paolo ; Challet, Damien.
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15. Liquidity and the multiscaling properties of the volume traded on the stock market. (2006). Eisler, Zoltan ; Kertesz, Janos.
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16. On a multi-timescale statistical feedback model for volatility fluctuations. (2005). Borland, Lisa ; Bouchaud, Jean-Philippe.
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17. On a multi-timescale statistical feedback model for volatility fluctuations. (2005). Borland, L. ; J. -Ph. Bouchaud, .
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1. EARLY WARNING SYSTEMS: ANÁLISE DE UMMODELO PROBIT DE CONTÁGIO DE CRISE DOS ESTADOS UNIDOS PARA O BRASIL(2000-2010). (2014). Couto, Joaquim Miguel ; MURILLO, HUGO AGUDELO ; da Silva, Claudeci.
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2. Cointegration and Extreme Value Analyses of Bovespa and the Istanbul Stock Exchange. (2012). Unal, Gozde ; Onay, Ceylan.
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3. Anything wrong with breaking a buck? An empirical evaluation of NASDAQs $1 minimum bid price maintenance criterion. (2012). Rhee, Ghon S. ; Wu, Feng.
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4. Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model (version révisée). (2011). Charlot, Philippe ; Marimoutou, Velayoudom.
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5. Stock volatility in the periods of booms and stagnations. (2010). Kaizoji, Taisei.
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6. Estimating Value-at-Risk (VaR) using TiVEx-POT Models. (2009). Mapa, Dennis ; Cayton, Peter Julian ; Lising, Mary Therese .
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7. Extreme observations and risk assessment in the equity markets of MENA region: Tail measures and Value-at-Risk. (2009). Assaf, A..
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8. Can Open Capital Markets Help Avoid Currency Crises?. (2009). Garita, Gus ; Zhou, Chen.
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9. Stochastic behavioral asset pricing models and the stylized facts. (2008). Lux, Thomas.
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10. Extreme US stock market fluctuations in the wake of 9|11. (2008). Wolff, Christian ; Verschoor, Willem ; Straetmans, Stefan ; W. F. C. Verschoor, ; S. T. M. Straetmans, ; C. C. P. Wolff, .
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11. An empirical behavioral model of liquidity and volatility. (2008). Farmer, J. ; Mike, Szabolcs .
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12. The Virtues and Vices of Equilibrium and the Future of Financial Economics. (2008). Farmer, J. ; Geanakoplos, John.
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13. Extreme risk in Asian equity markets. (2007). cotter, john.
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14. Margin setting with high-frequency data. (2006). cotter, john ; Longin, Francois .
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15. EXTREME DEPENDENCE IN THE NASDAQ AND S&P COMPOSITE INDEXES. (2006). Galbraith, John ; Zernov, Serguei .
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16. An analysis of the distribution of extremes in indices of share returns in the US, UK and Japan from 1963 to 2000. (2006). Brown, R. A. ; Gettinby, G. D. ; Power, D. M. ; Sinclair, C. D..
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17. Overnight borrowing, interest rates and extreme value theory. (2006). .
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18. Financial crashes as endogenous jumps: estimation, testing and forecasting. (2006). Fernandes, Marcelo.
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19. Selecting Copulas for Risk Management. (2006). Verbeek, Marno ; Kole, Erik ; Koedijk, Kees.
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20. The Dynamics of Financial Markets -- Mandelbrots multifractal cascades, and beyond. (2005). Borland, Lisa ; Bouchaud, Jean-Philippe ; Muzy, Jean-Francois ; Zumbach, Gilles.
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21. Absolute Return Volatility. (2005). cotter, john.
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22. Absolute Return Volatility. (2005). cotter, john.
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23. Financial Market in the Laboratory, an Experimental Analysis of some Stylized Facts. (2005). Morone, Andrea.
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24. The simple economics of bank fragility. (2005). de Vries, Casper.
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25. The choice of the distribution of asset returns: How extreme value theory can help?. (2005). Longin, Francois .
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26. Comparison of volatility distributions in the periods of booms and stagnations: an empirical study on stock price indices. (2005). Kaizoji, Taisei.
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27. Estimating the probability of large negative stock market. (2004). McErlean, Seamus ; Kostov, Philip.
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28. Financial Market in the Laboratory. (2004). Morone, Andrea.
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29. Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities. (2004). de Vries, Casper ; Geluk, J. L..
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30. Modelling extreme financial returns of global equity markets. (2004). cotter, john.
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31. Optimal Portfolio Allocation Under Higher Moments. (2004). Rockinger, Michael ; Jondeau, Eric.
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32. Extreme Moves in Foreign Exchange Rates and Risk Limit Setting. (2003). Dacorogna, Michel ; Blum, Peter.
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33. The Center and the Periphery: The Globalization of Financial Turmoil. (2003). Reinhart, Carmen ; Kaminsky, Graciela.
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34. Testing for differences in the tails of stock-market returns. (2003). Rockinger, Michael ; Jondeau, Eric.
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35. Disturbing extremal behavior of spot rate dynamics. (2003). Bali, Turan G. ; Neftci, Salih N..
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36. Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?. (2003). Malevergne, Yannick ; Pisarenko, V. F. ; Sornette, D..
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37. Disturbing Extremal Behavior of Spot Rate Dynamics. (2002). Bali, Turan G. ; Neftci, Salih N..
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38. Tail Dependence of Factor Models. (2002). Malevergne, Yannick ; Sornette, D..
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39. New Extreme-Value Dependance Measures and Finance Applications. (2001). Rockinger, Michael ; Poon, Ser-Huang ; Tawn, Jonathan.
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40. New Extreme-Value Dependence Measures and Finance Applications. (2001). Rockinger, Michael ; Poon, Ser-Huang ; Tawn, Jonathan.
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41. An EVT Approach to calculating Risk Capital Requirements. (2000). Brooks, Chris ; Persand, Gita ; Clare, Andrew D..
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42. A New Approach to Measuring Financial Contagion. (2000). Stulz, René ; Karolyi, G. ; Bae, Kee-Hong.
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43. Portfolio Insurance : The extreme Value of the CCPI Method. (2000). Prigent, Jean-Luc ; BERTRAND, Philippe.
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44. From value at risk to stress testing: The extreme value approach. (2000). Longin, Francois M..
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45. Extreme correlation of international equity markets. (2000). Longin, Franois ; Solnik, Bruno.
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46. Extreme Correlation of International Equity Markets. (2000). Longin, Franois ; Solnik, Bruno H.
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47. From Value at Risk to Stress Testing: The Extreme Value Approach. (1999). Longin, Franois.
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48. The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets.. (1999). Rockinger, Michael ; Jondeau, Eric.
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49. Setting NYSE Circuit Breaker Triggers. (1998). Broussard, John ; Booth, G..
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50. Correlation Structure of International Equity Markets During Extremely Volatile Periods. (1998). Bruno, SOLNIK ; Franois, LONGIN.
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