On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns

Applied Financial Economics

Volumn 16, Issue 3, 2006, Pages 271-289

  Malevergne, Y ^a,b   Pisarenko, V ^c   Sornette, D ^d,e  

^a UNIVERSITÉ LYON 1   (France)

^b EMLYON BUSINESS SCHOOL   (France)

^c INSTITUTE OF EARTHQUAKE PREDICTION THEORY AND MATHEMATICAL GEOPHYSICS   (Russian Federation)

^d INSTITUT NON LINÉAIRE DE NICE   (France)

^e UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ESTIMATION METHOD; STOCK MARKET;

EID: 30844464544     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/09603100500391008     Document Type: Article

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