Vilasuso, Jon; Katz, David - In: Journal of Applied Statistics 27 (2000) 1, pp. 119-130
This study applies extreme-value theory to daily international stock-market returns to determine (1) whether or not returns follow a heavy-tailed stable distribution, (2) the likelihood of an extreme return, such as a 20% drop in a single day, and (3) whether or not the likelihood of an extreme...
