Is the Dutch stock market getting riskier?

Ronny Suarez

MPRA Paper from University Library of Munich, Germany

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.

Keywords: AEX Index; Generalized Pareto Distribution, Return Level (search for similar items in EconPapers)
JEL-codes: C0 (search for similar items in EconPapers)
Date: 2018-04-13
New Economics Papers: this item is included in nep-fmk and nep-rmg
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:86197

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