Estimates of the likelihood of extreme returns in international stock markets

DOI10.1080/02664760021880zbMATH Open0937.62111OpenAlexW2013547618MaRDI QIDQ4935545FDOQ4935545

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

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Mathematics Subject Classification ID

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

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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