Estimates of the likelihood of extreme returns in international stock markets

DOI10.1080/02664760021880MaRDI QIDQ4935545zbMATH OpenOpenAlexFDO

Authors

Publication date 13 June 2000

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664760021880

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(1)

• Tail relation between return and volume in the US stock market: an analysis based on extreme value theory

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