Journal articles
Year
1995
Abstract
The unconditional normal distribution, mixtures of normal variables, Student-t variables, stable Paretian variables, jump-diffusion and ARCH processes,… are all models used in financial studies to describe the statistical behaviour of market rentabilities. This article shows how the observation of extreme values can be used to differentiate the models.
LONGIN, F. (1995). Le choix de la loi des rentabilités d’actifs financiers : les valeurs extrêmes peuvent aider. Finance, pp. 25-48.