Testing for differences in the tails of stock-market returns

Journal of Empirical Finance

Volumn 10, Issue 5, 2003, Pages 559-581

  Jondeau, Eric ^a,c   Rockinger, Michael ^b  

^a BANQUE DE FRANCE   (France)

^b UNIVERSITY OF LAUSANNE   (Switzerland)

^c UNIVERSITÉ PARIS EST CRÉTEIL   (France)

Author keywords

Emerging markets; Extreme value theory; Generalized extreme value distribution; Stock market return

Indexed keywords

EID: 0042342714     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(03)00005-7     Document Type: Article

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