Work

The Asymptotic Distribution of Extreme Stock Market Returns

Year: 1996

Type: article

Abstract: This article presents a study of extreme stock market price movements. According to extreme value theory, the form of the distribution of extreme returns is precisely known and independent of the process generating returns. Using data for an index of the most traded stocks on the New York Stock Exchange for the period 1885-1990, it is shown empirically that the extreme returns obey a Frechet distribution.

Source: The Journal of Business

DOI: 10.1086/209695

Author: Francois M. Longin

Institutions: École Supérieure des Sciences Économiques et Commerciales, ESSEC Business School

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1967723308

FWCI: 17.15

Cites: 20

Cited by: 517

Related to: 10