Gettinby, G. D.; Sinclair, C. D.; Power, D. M.; Brown, R. A. - In: International Journal of Finance & Economics 11 (2006) 2, pp. 97-113
This paper seeks to characterize the distribution of extreme returns for US, UK and Japanese equity indices over the years 1963-2000. In particular, the suitability of the following distributions is investigated: Normal, Frechet, Gumbel, Weibull, Generalized Extreme Value (GEV), Generalized...