The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets.
In the following paper the authors start with a review of theoretical elements of extreme value theory (evt). In the empirical section of this study they consider five mature markets, nine Asian, six Eastern European, and seven Latin American emerging markets. The tail-behavior of returns is found to be compatible with the existence of up to the third moment but not beyond. Using a subsample of countries they also demonstrate the limitations of evt. Finally they show that little can be learned from 19th century US data about presently emerging markets' tail behavior.
Extreme value theory ; Generalized Pareto distribution ; Stock-market returns.
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