Gettinby, G. D.; Sinclair, C. D.; Power, D. M.; Brown, R. A. - In: Journal of Business Finance & Accounting 31 (2004-06) 5-6, pp. 607-646
This paper seeks to characterise the distribution of extreme returns for a UK share index over the years 1975 to 2000. In particular, the suitability of the following distributions is investigated: Gumbel, Frechet, Weibull, Generalised Extreme Value, Generalised Pareto, Log-Normal and...