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An Analysis of the Distribution of Extreme Share Returns in the UK from 1975 to 2000

โœ Scribed by G. D. Gettinby; C. D. Sinclair; D. M. Power; R. A. Brown

Book ID
110751257
Publisher
John Wiley and Sons
Year
2004
Tongue
English
Weight
227 KB
Volume
31
Category
Article
ISSN
0306-686X

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An analysis of the distribution of extre
An analysis of the distribution of extremes in indices of share returns in the US, UK and Japan from 1963 to 2000
โœ G. D. Gettinby; C. D. Sinclair; D. M. Power; R. A. Brown ๐Ÿ“‚ Article ๐Ÿ“… 2006 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 190 KB

## Abstract This paper seeks to characterize the distribution of extreme returns for US, UK and Japanese equity indices over the years 1963โ€“2000. In particular, the suitability of the following distributions is investigated: Normal, Frechet, Gumbel, Weibull, Generalized Extreme Value (GEV), General