The rare event risk in African emerging stock markets

Purpose - The purpose of this paper is to investigate the asymptotic distribution of the extreme daily stock returns in African stock markets over the period 1996-2007 and examine the implications for downside risk measurement.Design methodology approach - Extreme value theory methods are used to mo...

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Veröffentlicht in:	Managerial finance 2011-01, Vol.37 (3), p.275-294
1. Verfasser:	Tolikas, Konstantinos
Format:	Artikel
Sprache:	eng
Schlagworte:	Diversification Emerging markets Financial institutions GDP Gross Domestic Product Investments Investors New stock market listings Normal distribution Probability Rates of return Risk Securities markets Stock exchanges Studies
Online-Zugang:	Volltext
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