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The distribution of the extreme daily share returns in the Athens stock exchange

Author

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  • Konstantinos Tolikas
  • Richard Brown

Abstract

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 stochastic behaviour of the ASE index extreme minima over the period studied. However, using moving windows techniques we show that the parameters of this distribution appear to vary with a tendency to become less fat tailed over time. This paper argues that market risk measurement models that are able to exploit this time varying behaviour could lead to more accurate risk estimates and therefore, have potentially important implications for risk assessment.

Suggested Citation

  • Konstantinos Tolikas & Richard Brown, 2006. "The distribution of the extreme daily share returns in the Athens stock exchange," The European Journal of Finance, Taylor & Francis Journals, vol. 12(1), pages 1-22.
    • Handle: RePEc:taf:eurjfi:v:12:y:2006:i:1:p:1-22
    DOI: 10.1080/1351847042000304107
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    Cited by:

    1. Emmanuel Afuecheta & Chigozie Utazi & Edmore Ranganai & Chibuzor Nnanatu, 2023. "An Application of Extreme Value Theory for Measuring Financial Risk in BRICS Economies," Annals of Data Science, Springer, vol. 10(2), pages 251-290, April.
    2. Ozun, Alper & Cifter, Atilla & Yilmazer, Sait, 2007. "Filtered Extreme Value Theory for Value-At-Risk Estimation," MPRA Paper 3302, University Library of Munich, Germany.
    3. Christopher Lynch & Benjamin Mestel, 2019. "Change-Point Analysis Of Asset Price Bubbles With Power-Law Hazard Function," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(07), pages 1-24, November.
    4. Bertrand B. Maillet & Jean-Philippe R. M�decin, 2010. "Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes," Working Papers 2010_10, Department of Economics, University of Venice "Ca' Foscari".
    5. Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008. "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Post-Print halshs-00336475, HAL.
    6. Konstantinos Tolikas & Athanasios Koulakiotis & Richard A. Brown, 2007. "Extreme Risk and Value-at-Risk in the German Stock Market," The European Journal of Finance, Taylor & Francis Journals, vol. 13(4), pages 373-395.

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