Onour, Ibrahim (2009): Extreme Risk and Fattails Distribution Model:Empirical Analysis.

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Abstract
This 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.
Item Type:  MPRA Paper 

Original Title:  Extreme Risk and Fattails Distribution Model:Empirical Analysis 
Language:  English 
Keywords:  VaR;Expected shortfall; risk;GCC stock markets 
Subjects:  C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C50  General E  Macroeconomics and Monetary Economics > E0  General > E00  General E  Macroeconomics and Monetary Economics > E4  Money and Interest Rates > E44  Financial Markets and the Macroeconomy 
Item ID:  17736 
Depositing User:  A Onour 
Date Deposited:  08. Oct 2009 13:45 
Last Modified:  13. Feb 2013 01:44 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/17736 