Suarez, Ronny (2017): Is the US stock market getting riskier?
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Abstract
In this paper, we compared the distribution of the S&P 500 Index monthly returns of the period 1957-1986 against the period 1987-2016 to evaluate the presence of extreme events. The last 30 years have recorded a higher (lower) probability to exceed a given negative (positive) monthly return compare with the probability of exceedance of the three previous decades
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | Is the US stock market getting riskier? |
| English Title: | Is the US stock market getting riskier? |
| Language: | English |
| Keywords: | S&P500; Generalized Pareto Distribution, Return Level |
| Subjects: | C - Mathematical and Quantitative Methods > C0 - General G - Financial Economics > G0 - General |
| Item ID: | 80337 |
| Depositing User: | Mr Ronny Suarez |
| Date Deposited: | 26 Jul 2017 16:20 |
| Last Modified: | 27 Sep 2019 07:29 |
| References: | McNeil, A. J. (1999). Extreme Value Theory for Risk Managers. Internal Modelling and CAD II. RISK Books, 93-113. Coles, S. (2001). An Introduction to Statistical Modeling of Extreme Values. Springer, London. |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/80337 |
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