haku: @indexterm RATE OF RETURN / yhteensä: 621
viite: 24 / 621
| Tekijä: | Tolikas, K. Brown, R.A. |
| Otsikko: | The distribution of the extreme daily share returns in the Athens stock exchange |
| Lehti: | European Journal of Finance
2006 : JAN, VOL. 12:1, p. 1-22 |
| Asiasana: | stock exchanges rate of return theories models Greece |
| Kieli: | eng |
| Tiivistelmä: | In this paper, Extreme Value Theory (EVT) methods are used to investigate the asymptotic distribution (here as: dstr-n.) of the lower tail for daily returns in the Athens Stock Exchange (ASE) from 1986 to 2001. Overall, the Generalised Logistic (GL) dstr-n. is found to provide adequate descriptions of the stochastic behaviour of the ASE index extreme minima. However, through moving windows techniques it is shown that the parameters of this dstr-n. appear to vary with a tendency to become less fat tailed over time. This paper argues that market risk measurement models able to exploit this time varying behaviour could lead to more accurate risk estimates, therefore having potentially important implications for risk assessment. |
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