Suarez, Ronny (2018): Is the Dutch stock market getting riskier?
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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.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | Is the Dutch stock market getting riskier? |
| English Title: | Is the Dutch stock market getting riskier? |
| Language: | English |
| Keywords: | AEX Index; Generalized Pareto Distribution, Return Level |
| Subjects: | C - Mathematical and Quantitative Methods > C0 - General |
| Item ID: | 86197 |
| Depositing User: | Mr Ronny Suarez |
| Date Deposited: | 14 Apr 2018 11:00 |
| Last Modified: | 30 Sep 2019 07:45 |
| 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/86197 |
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