Testing for differences in the tails of stock-market returns
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- Jondeau, Eric & Rockinger, Michael, 2003. "Testing for differences in the tails of stock-market returns," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 559-581, December.
- Michael Rockinger & Eric Jondeau, 2001. "Testing for differences in the tails of stock-market returns," Working Papers hal-00601480, HAL.
References listed on IDEAS
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More about this item
Keywordsextreme value theory; generalized extreme value distribution; emerging markets;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2002-11-28 (All new papers)
- NEP-CFN-2002-11-28 (Corporate Finance)
- NEP-FIN-2002-11-28 (Finance)
- NEP-FMK-2002-11-28 (Financial Markets)
- NEP-RMG-2002-11-28 (Risk Management)
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