haku: @indexterm value theory / yhteensä: 82
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| Tekijä: | Cotter, J. |
| Otsikko: | Extreme value estimation of boom and crash statistics |
| Lehti: | European Journal of Finance
2006 : SEP/OCT, VOL. 12:6-7, p. 553-566 |
| Asiasana: | stock markets equities investments prices risk volatility estimation value theory stock exchanges international |
| Vapaa asiasana: | indices |
| Kieli: | eng |
| Tiivistelmä: | This paper explores the extreme (here as: ext.) behaviour of equity market returns, quantifying the possible losses experienced during financial crises. Ext. value theory using the block maxima method is applied to equity indices representing American, Asian and European markets. It is shown that the tail indices are characterized by the fat-tailed Frechet distribution. Ext. return levels associated with market crashes are more severe than booms. Asian markets exhibit the largest propensity for experiencing crashes and booms. |
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