Bibliography
Bouchaud, J.-P. and Potters, M. (2000). Theory of Financial Risk, Cambridge
University Press, Cambridge.
Carr, P., Geman, H., Madan, D. B., and Yor, M. (2002). The fine structure of
asset returns: an empirical investigation, Journal of Business 75: 305-332.
Chambers, J. M., Mallows, C. L., and Stuck, B. W. (1976). A method for
simulating stable random variables, Journal of the American Statistical
Association 71: 340-344.
D’Agostino, R. B. and Stephens, M. A. (1986). Goodness-of-Fit Techniques,
Marcel Dekker, New York.
Embrechts, P., Kluppelberg, C., and Mikosch, T. (1997). Modelling Extremal
Events for Insurance and Finance, Springer.
Fama, E. F. (1965). The behavior of stock market prices, Journal of Business
38: 34-105.
Fama, E. F. and Roll, R. (1971). Parameter estimates for symmetric stable
distributions, Journal of the American Statistical Association 66: 331-
338.
Gopikrishnan, P., Plerou, V., Amaral, L. A. N., Meyer, M. and Stanley, H. E.
(1999). Scaling of the distribution of fluctuations of financial market in-
dices, Physical Review E 60(5): 5305-5316.
Guillaume, D. M., Dacorogna, M. M., Dave, R. R., Müller, U. A., Olsen, R. B.,
and Pictet, O. V. (1997). From the birds eye to the microscope: A survey
of new stylized facts of the intra-daily foreign exchange markets, Finance
& Stochastics 1: 95-129.
Hardle, W., Klinke, S., and Müller, M. (2000). XploRe Learning Guide,
Springer.