Munich Personal RePEc Archive

Is the Dutch stock market getting riskier?

Suarez, Ronny (2018): Is the Dutch stock market getting riskier?

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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.

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