Jean-Philippe R. Médecin

affiliation not provided to SSRN

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

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 10_10
Number of pages: 108 Posted: 19 May 2010
Bertrand B. Maillet and Jean-Philippe R. Médecin
EMLyon Business School (Paris Campus) and affiliation not provided to SSRN
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Abstract:

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