Andjelic, Goran; Milosev, Ivana; Djakovic, Vladimir - In: Economic Annals 55 (2010) 185, pp. 63-106
This paper investigates the performance of extreme value theory (EVT) with the daily stock index returns of four different emerging markets. The research covers the sample representing the Serbian (BELEXline), Croatian (CROBEX), Slovenian (SBI20), and Hungarian (BUX) stock indexes using the data...