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98-107/2 - Abnormal Returns, Risk, and Options in Large Data Sets

  • Authors
    Silvia Caserta, Erasmus University Rotterdam; Jon Danielsson, London School of Economics and University of Iceland; Casper G. de Vries, Erasmus University Rotterdam
  • Publication date
    October 9, 1998
  • Keywords
    Extreme value theory; tail estimation; high frequency data; exotic options
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