Non-stationary in extreme share return: World indices application
This paper investigates the behaviour of the extreme share return for the 26 different major indices shares by exploring their stationarity. Extreme return for weekly and monthly series is generated by using block maxima method. Four-employed test permits us to spot non-stationarity in extreme movem...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Akademi Sains Malaysia
2020
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| Subjects: | |
| Online Access: | http://eprints.utm.my/id/eprint/91499/1/AniShabri2020_Non-StationaryinExtremeShareReturn.pdf http://eprints.utm.my/id/eprint/91499/ http://dx.doi.org/10.32802/asmscj.2020.sm26(1.16) |
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| Institution: | Universiti Teknologi Malaysia |
| Language: | English |