In the following paper the authors start with a review of theoretical elements of extreme value theory (evt). In the empirical section of this study they consider five mature markets, nine Asian, six Eastern European, and seven Latin American emerging markets. The tail-behavior of returns is found to be compatible with the existence of up to the third moment but not beyond. Using a subsample of countries they also demonstrate the limitations of evt. Finally they show that little can be learned from 19th century US data about presently emerging markets' tail behavior.
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Paper provided by Banque de France - Direction Generale des Etudes in its series Papers with number
66.
Find related papers by JEL classification: C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models G15 - Financial Economics - - General Financial Markets - - - International Financial Markets O16 - Economic Development, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment
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