Fernandes, Jose L. B.; Hasman, Augusto; Peña, Juan Ignacio - Departamento de Economía de la Empresa, Universidad … - 2006
The aim of this paper is twofold: First to test the adequacy of Pareto distributions to describe the tail of financial returns in emerging and developed markets, and second to study the possible correlation between stock market indices observed returns and return’s extreme distributional...