Testing for differences in the tails of stock-market returns
Abstract
In this paper, we use a database consisting of daily stock-market returns for 20 countries to test for similarities between the left and right tails of returns, as well as across countries. We estimate and test using the distribution of extreme returns over subsamples approach. Via Monte-Carlo simulations, we show that maximum-likelihood estimators are essentially unbiased, provided the size of subsamples is correctly chosen, and that the...
Paper Details
Title
Testing for differences in the tails of stock-market returns
Published Date
Dec 1, 2003
Journal
Volume
10
Issue
5
Pages
559 - 581
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