Abnormal returns, risk, and options in large data sets

DOI10.1111/1467-9574.00087zbMath0924.62108OpenAlexW2128004037MaRDI QIDQ4259387

Sergio Caserta, Casper G. de Vries, Jón Daníelsson

Publication date: 9 November 1999

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://papers.tinbergen.nl/98107.pdf

zbMATH Keywords

extreme value theoryhigh frequency dataexotic optionstail estimationsemiparametric estimates

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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