Brännäs, Kurt; Quoreshi, Shahiduzzaman; Simonsen, Ola - Institutionen för Nationalekonomi, Umeå Universitet - 2002
The paper studies Swedish stock series using extreme-value theoretical approaches. In a univariate setting support is found for the Fréchet family of distributions for minima and maxima. Pairs of return series are found to be asymptotically independent throughout. The results render support for...