Jean-Philippe Medecin

CES/CNRS - University of Paris-1 (Panthéon-Sorbonne)

106 bv de l'Hôpital

Paris, 75013

France

SCHOLARLY PAPERS

2

DOWNLOADS

418

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (2)

Extreme Volatilities, Financial Crises and L-Moment Estimations of Tail Indexes

Number of pages: 108 Posted: 28 Oct 2008 Last Revised: 26 Apr 2010
Bertrand B. Maillet and Jean-Philippe Medecin
EMLyon Business School (Paris Campus) and CES/CNRS - University of Paris-1 (Panthéon-Sorbonne)
Downloads 277 (110,248)
Citation 1

Abstract:

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Financial Crisis, Realized Volatility, Range-based Volatility, Extreme Value Distributions, Tail Index, L-moments, High Frequency Data

2.

High Watermarks of Market Risk

Number of pages: 20 Posted: 01 Mar 2007 Last Revised: 12 Nov 2010
Bertrand B. Maillet, Jean-Philippe Medecin and Thierry Michel
EMLyon Business School (Paris Campus), CES/CNRS - University of Paris-1 (Panthéon-Sorbonne) and Lombard Odier & Cie
Downloads 141 (207,344)
Citation 3

Abstract:

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Financial Crisis, Volatility Estimators Distributions, Range-based Volatility, Extreme Value, High Frequency Data