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Is the Dutch stock market getting riskier?

Author

Listed:
  • Suarez, Ronny

Abstract

In this paper, we compared the distribution of the AEX Index monthly returns of the period 1994-2005 against the period 2006-2017 to evaluate the presence of negative extreme events. Through the analysis of the Return Level value (R10) we have concluded that AEX Index period 1994-2005 has a similar risk that the period 2006-2017.

Suggested Citation

  • Suarez, Ronny, 2018. "Is the Dutch stock market getting riskier?," MPRA Paper 86197, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:86197
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    Cited by:

    1. Suarez, Ronny, 2018. "Return level applied to portfolio analysis," MPRA Paper 87747, University Library of Munich, Germany.

    More about this item

    Keywords

    AEX Index; Generalized Pareto Distribution; Return Level;
    All these keywords.

    JEL classification:

    • C0 - Mathematical and Quantitative Methods - - General

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