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Extreme risk and value-at-risk in the German stock market

Tolikas, Konstantinos; Koulakiotis, Athanasios; Brown, … - In: The European journal of finance 13 (2007) 3/4, pp. 373-395

Persistent link: https://www.econbiz.de/10003550400

Extreme Risk and Value-at-Risk in the German Stock Market

Tolikas, Konstantinos; Koulakiotis, Athanasios; Brown, … - In: The European journal of finance 13 (2007) 4, pp. 373

Persistent link: https://www.econbiz.de/10007745561

Extreme Risk and Value-at-Risk in the German Stock Market

Tolikas, Konstantinos; Koulakiotis, Athanasios; Brown, … - In: The European journal of finance 13 (2007) 3-4, pp. 373

Persistent link: https://www.econbiz.de/10007754430

The distribution of the extreme daily share returns in the Athens Stock Exchange

Tolikas, Konstantinos; Brown, Richard A. - In: The European journal of finance 12 (2006) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10003305192

The Distribution of the Extreme Daily Share Returns in the Athens Stock Exchange

Brown, Richard A. - 2004

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...

Persistent link: https://www.econbiz.de/10012785436

The impact of foreign cross-listings on the home Dutch equities

Koulakiotis, Athanasios; Angelidis, Dimitrios; Tolikas, … - In: Managerial Finance 32 (2006), pp. 451-462

Purpose –This paper develops the approach suggested by Howe et al. to examine the impact of cross-listings on stock price volatility in Europe. Design/methodology/approach - A modified generalized autoregressive conditional hetero-skedasticity (GARCH) modeling approach as suggested by Li and...

Persistent link: https://www.econbiz.de/10010741359