Domínguez Gijón, Rosa María; Flores Ortega, Miguel; … - In: Revista Nicolaita de Estudios Económicos VII (2012) 1, pp. 7-24
This paper develops a dynamic model of the returns of the Stock Market Index of the Mexican Stock Exchange within the framework of the theory of extreme values and, in particular, carries out an application of the Generalized Pareto Distribution. The statistical analysis shows that many of the...