TY - JOUR
T1 - Modelling the distribution of the extreme share returns in Singapore
AU - Tolikas, Konstantinos
AU - Gettinby, Gareth
PY - 2009/3/1
Y1 - 2009/3/1
N2 - This study aims to model the probability distribution of the extreme daily share returns in Singapore Stock Exchange over the period 1973 to 2005. For that reason the suitability of the Generalized Extreme Value (GEV), Generalized Pareto (GP) and Generalized Logistic (GL) distributions are investigated. The empirical results indicate that the GL distribution best fitted the empirical data over the period of study. Using the too much celebrated GEV and GP distributions for risk assessment could, therefore, lead to underestimation of the extreme risk which could potentially lead to inadequate protection against catastrophic losses.
AB - This study aims to model the probability distribution of the extreme daily share returns in Singapore Stock Exchange over the period 1973 to 2005. For that reason the suitability of the Generalized Extreme Value (GEV), Generalized Pareto (GP) and Generalized Logistic (GL) distributions are investigated. The empirical results indicate that the GL distribution best fitted the empirical data over the period of study. Using the too much celebrated GEV and GP distributions for risk assessment could, therefore, lead to underestimation of the extreme risk which could potentially lead to inadequate protection against catastrophic losses.
UR - https://www.sciencedirect.com/science/article/pii/S0927539808000558
U2 - 10.1016/j.jempfin.2008.06.006
DO - 10.1016/j.jempfin.2008.06.006
M3 - Article
SN - 0927-5398
VL - 16
SP - 254
EP - 263
JO - Journal of Empirical Finance
JF - Journal of Empirical Finance
IS - 2
ER -