Kittiakarasakun, Jullavut; Tse, Yiuman - In: International Review of Economics & Finance 20 (2011) 3, pp. 430-440
We test whether stock returns in the Asian markets are characterized by infinite variance or just large variance, which has an important implication for the applicability of many financial models in Asian market data. Employing the extreme value framework, we find that the Asian index return...