Tolikas, Konstantinos; Koulakiotis, Athanasios; Brown, … - In: The European Journal of Finance 13 (2007) 4, pp. 373-395
Extreme Value Theory methods are used to investigate the distribution of the extreme minima in the German stock market over the period 1973 to 2001. Innovative aspects of this paper include (i) a wide set of distributions considered, (ii) L-moment diagrams employed to identify the most...