On the frequency of large stock returns: putting booms and busts into perspective

Casper de Vries and Dennis Jansen

No 1989-006, Working Papers from Federal Reserve Bank of St. Louis

Abstract: Numerous articles have investigated the distribution of share prices, and find that the yields are leptokurtic. There is still controversy about the amount of leptokurtosis, and hence about the most appropriate distribution to use in modeling returns. This controversy has proven hard to resole, as the alternatives are non-nested. We propose to employ extreme value theory focusing exclusively on the larger observations, in order to assess the leptokurtosis within a unified framework. This enables one to generate robust probabilities on large changes, which put the recent stock market swings into historical perspective.

Keywords: Stock market; Stock - Prices (search for similar items in EconPapers)
Date: 1988
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Citations: View citations in EconPapers (26)

Published in Review of Economics and Statistics, February 1991, 73(1), pp. 18-24

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Journal Article: On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1991)
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DOI: 10.20955/wp.1989.006

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