The asymptotic distribution of extreme stock market returns

被引：207
作者：
Longin, FM
机构：
来源：
JOURNAL OF BUSINESS | 1996年 / 69卷 / 03期
关键词：
D O I：
10.1086/209695
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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, I show empirically that the extreme returns obey a Frechet distribution.
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页码：383 / 408
页数：26
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