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- W2188528467 abstract "The paper offers some evidence regarding the distribution of daily stock returns in 10 international markets over 22 years. The issue is important in financial risk management where the worst expected loss over a target horizon could indicate the exposure of a financial institution to market risk. The results indicate that (1) daily returns (high frequency) have far heavier tails to be described by the normal distribution, (2) monthly returns (low frequency, the sum of 20 daily returns) do not seem to converge to the normal distribution, (3) daily returns when filtered from time series dependence have less heavier tails but still cannot be described by the normal distribution, (4) daily returns have finite variance but the existence of higher moments than three is doubtful, (5) the asymptotic distribution for maxima of returns is the Frechet, and (6) daily returns for six countries cannot be described as covariance stationary, i.e. the variance is not constant across samples of the data." @default.
- W2188528467 created "2016-06-24" @default.
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- W2188528467 date "2001-01-01" @default.
- W2188528467 modified "2023-09-27" @default.
- W2188528467 title "International evidence on extreme values and value at risk of stock returns" @default.
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