haku: @indexterm FREQUENCY DISTRIBUTION / yhteensä: 54
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| Tekijä: | Gettinby, G.D. (et al.) |
| Otsikko: | An analysis of the distribution of extreme share returns in the UK from 1975 to 2000 |
| Lehti: | Journal of Business Finance and Accounting
2004 : JUN/JUL, VOL. 31:5-6, p. 607-645 |
| Asiasana: | Stock markets Stock returns Frequency distribution Models United Kingdom |
| Kieli: | eng |
| Tiivistelmä: | This paper aims to characterize the distribution (hereafter as: distr./distrs.) of extreme returns for a U.K. share index from 1975 to 2000. In particular, the suitability of the following distrs. is investigated: Gumbel, Frechet, Weibull, Generalised Extreme Value, Generalised Pareto, Log-Normal and Generalised Logistic. The results from fitting each of the distrs. to extremes of a series of U.K. share returns support the conclusion that the Generalised Logistic distribution best fits the U.K. data for extremes over the period of the study. The Generalised Logistic distr. has fatter tails than either the log-normal or the Generalised Extreme Value distr. |
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