Physica A Statistical Mechanics and its Applications · 2009 · 11 citations · 26 references
Social SciencesEconomicsFinanceEconometricsFinancial EconomicsFinancial MarketsCapital MarketsInternational Financial MarketsLaw Of Large NumbersMarket RiskVolatility ModelingDistribution Tail AnalysisFat-tailed Return DistributionsForeign Exchange Volatility ModelingInternational Price IndexesTail Dependence AnalysisTail Index EstimationTail Risk
26
The Behavior of Stock-Market Prices
Eugene F. Fama · The Journal of Business · 1965 · 8.7K citations
The Variation of Certain Speculative Prices
Benoît B. Mandelbrot · The Journal of Business · 1963 · 4.7K citations
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Empirical properties of asset returns: stylized facts and statistical issues
Rama Cont · Quantitative Finance · 2001 · 3.2K citations
Extreme Correlation of International Equity Markets
François Longin, Bruno Solnik · The Journal of Finance · 2001 · 2.6K citations
A theory of power-law distributions in financial market fluctuations
Xavier Gabaix, Parameswaran Gopikrishnan, Vasiliki Plerou et al. · Nature · 2003 · 1.3K citations
Business, Finance, Mathematics +14