Is the US stock market getting riskier?

Ronny Suarez

MPRA Paper from University Library of Munich, Germany

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

Keywords: S&P500; Generalized Pareto Distribution, Return Level (search for similar items in EconPapers)
JEL-codes: C0 G0 (search for similar items in EconPapers)
Date: 2017-07-23
New Economics Papers: this item is included in nep-fmk and nep-rmg
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/80337/1/MPRA_paper_80337.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:80337

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().