The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets.
Year of publication: |
1999
|
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Authors: | Jondeau, E. ; Rockinger, M. |
Institutions: | Banque de France |
Subject: | Extreme value theory | Generalized Pareto distribution | Stock-market returns |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | 27 pages |
Classification: | C13 - Estimation ; C22 - Time-Series Models ; G15 - International Financial Markets ; O16 - Financial Markets; Saving and Capital Investment |
Source: |
-
The Tail Behavior of Stock Returns: Emerging versus Mature Markets
ROCKINGER, Michael, (1999)
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