98-107/2 - Abnormal Returns, Risk, and Options in Large Data Sets

• Authors
  Silvia Caserta, Erasmus University Rotterdam; Jon Danielsson, London School of Economics and University of Iceland; Casper G. de Vries, Erasmus University Rotterdam
• Publication date
  October 9, 1998

• Keywords
  Extreme value theory; tail estimation; high frequency data; exotic options