Abstract
Throughout this chapter, we assume that speculative prices p t like those pertaining to stocks, foreign currencies, futures etc. are evaluated at discrete times t = 0,1,2,..., where the periods can be days or weeks (also see page 5). Thus, if p 0 is the price of an investment at time t = 0, then the return—the difference of prices taken relatively to the initial price—at time t is (p t − p 0)/p 0.
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de Vries, C.G. (1997). Extreme Returns in Asset Prices. In: Statistical Analysis of Extreme Values. Birkhäuser, Basel. https://doi.org/10.1007/978-3-0348-6336-0_10
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DOI: https://doi.org/10.1007/978-3-0348-6336-0_10
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