Modelling the distribution of the extreme share returns in Singapore

Tolikas, Konstantinos ORCID: https://orcid.org/0000-0001-8281-0709 and Gettinby, Gareth D. 2009. Modelling the distribution of the extreme share returns in Singapore. Journal of Empirical Finance 16 (2) , pp. 254-263. 10.1016/j.jempfin.2008.06.006

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Abstract

This study aims to model the probability distribution of the extreme daily share returns in Singapore Stock Exchange over the period 1973 to 2005. For that reason the suitability of the Generalized Extreme Value (GEV), Generalized Pareto (GP) and Generalized Logistic (GL) distributions are investigated. The empirical results indicate that the GL distribution best fitted the empirical data over the period of study. Using the too much celebrated GEV and GP distributions for risk assessment could, therefore, lead to underestimation of the extreme risk which could potentially lead to inadequate protection against catastrophic losses.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > H Social Sciences (General) H Social Sciences > HD Industries. Land use. Labor H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management H Social Sciences > HF Commerce H Social Sciences > HG Finance
Uncontrolled Keywords:	Extreme share returns ; Risk measurement ; Generalized Logistic distribution ; Generalized Extreme Value distribution; L-moments; Probability Weighted Moments.
Publisher:	Elsevier
ISSN:	0927-5398
Last Modified:	19 Oct 2022 08:57
URI:	https://orca.cardiff.ac.uk/id/eprint/19575

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