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How fat are the tails of equity market indices?

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  • Stoyan Stoyanov
  • Lixia Loh
  • Frank J. Fabozzi

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  • Stoyan Stoyanov & Lixia Loh & Frank J. Fabozzi, 2017. "How fat are the tails of equity market indices?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 22(3), pages 181-200, July.
    • Handle: RePEc:wly:ijfiec:v:22:y:2017:i:3:p:181-200
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    Cited by:

    1. Hamed Tabasi & Vahidreza Yousefi & Jolanta Tamošaitienė & Foroogh Ghasemi, 2019. "Estimating Conditional Value at Risk in the Tehran Stock Exchange Based on the Extreme Value Theory Using GARCH Models," Administrative Sciences, MDPI, vol. 9(2), pages 1-17, May.
    2. Echaust, Krzysztof & Just, Małgorzata, 2022. "Is gold still a safe haven for stock markets? New insights through the tail thickness of portfolio return distributions," Research in International Business and Finance, Elsevier, vol. 63(C).

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