Tolikas, Konstantinos; Brown, Richard - In: The European Journal of Finance 12 (2006) 1, pp. 1-22
Extreme Value Theory (EVT) methods are used to investigate the asymptotic distribution of the lower tail for daily returns in the Athens Stock Exchange (ASE) over the period 1986 to 2001. Overall, the Generalised Logistic (GL) distribution is found to provide adequate descriptions of the...
