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Long-term memories of developed and emerging markets : using the scaling analysis to characterize their stage of development
Di Matteo, Tiziana; Aste, T.; Dacorogna, Michel M. - In: Journal of banking & finance 29 (2005) 4, pp. 827-851
Persistent link: https://www.econbiz.de/10002600039
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Special issue on high frequency data in finance
Baillie, Richard (contributor);  … - 1997
Persistent link: https://www.econbiz.de/10001505850
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Special issue on high frequency data in finance ; Pt. 2
Baillie, Richard (contributor);  … - 1999
Persistent link: https://www.econbiz.de/10001558702
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Special issue on high frequency data in finance ; Pt. 1
Baillie, Richard (contributor);  … - 1997
Persistent link: https://www.econbiz.de/10001224723
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The Price of Being a Systemically Important Financial Institution (SIFI)
Dacorogna, Michel M. - 2016
After reviewing the notion of Systemically Important Financial Institution (SIFI), we propose a first principles way to compute the price of the implicit put option that the State gives to such an institution. Our method is based on important results from Extreme Value Theory (EVT), one for the...
Persistent link: https://www.econbiz.de/10012987748
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The price of being a Systemically Important Financial Institution (SIFI)
Dacorogna, Michel M.; Busse, Marc - In: International review of finance 17 (2017) 4, pp. 611-616
Persistent link: https://www.econbiz.de/10011807235