Extreme Risk and Fat-tails Distribution Model:Empirical Analysis
AbstractThis paper investigates estimation of extreme risk in a number of stock markets in the Gulf Cooperation Council (GCC) countries , Saudi, Kuwait, and United Arab Emirates, in addition to S& P 500 stock index, using the Generalized Pareto Distribution (GPD) model. The estimated tails parameter values for stock returns of Kuwait, Saudi, and Dubai, markets show the likelihood of significant extreme losses as well as significant extreme gains, compared to the case of more mature S&P 500 stock returns, which exhibit possibility of significant extreme losses with insignificant gain prospects.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 17736.
Date of creation: 28 Jun 2009
Date of revision: 20 Sep 2009
VaR; Expected shortfall; risk; GCC stock markets;
Other versions of this item:
- Ibrahim Onour, . "Extreme Risk and Fat-tails Distribution Model:Empirical Analysis," API-Working Paper Series 0911, Arab Planning Institute - Kuwait, Information Center.
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- E00 - Macroeconomics and Monetary Economics - - General - - - General
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-10-10 (All new papers)
- NEP-ARA-2009-10-10 (MENA - Middle East & North Africa)
- NEP-CWA-2009-10-10 (Central & Western Asia)
- NEP-RMG-2009-10-10 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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