Testing for Differences in the Tails of Stock-Market Returns
By Eric Jondeau, Michael Rockinger. 2003
179 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/3bcd949fb3b36a57774f1d8a71550a8c4c83ac1d
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Wing-Keung Wong
- Michael Rockinger
- Eric Jondeau
- Pui Lam Leung
- Kenton Zumwalt
- D. Gasbarro
- Stefan Straetmans
- Christian C. P. Wolff
In Finance
- Michael Rockinger
- Eric Jondeau
- Wing-Keung Wong
- Pui Lam Leung
- Kenton Zumwalt
- D. Gasbarro
- Stefan Straetmans
- Christian C. P. Wolff
Citations in the corpus
- Stochastic Dominance Analysis of iShares (2007, methodology): “Interestingly, Jondeau and Rockinger (2003) find no statistical differences in the extreme tails for the return distributions of 20 international stock market indices.”
- On Testing the Equality of the Multiple Sharpe Ratios, with Application on the Evaluation of Ishares (2008, methodology): “For example, daily returns are used by Peiro (1999) from nine stock indices while Jondeau and Rockinger (2003) utilize 20 international stock market indices. Prakash, et al (2003) employ both weekly and monthly returns from 17 international stock market indices.”
- Extreme Value Theory and Fat Tails in Equity Markets (2005, unknown): “Jondeau and Rockinger ( 2003) use maximum likelihood methods to estimate these parameters across a range of emerging and developed market equity returns.”
- Optimal Portfolio Allocation under Higher Moments (2006, methodology): “This may be done, for instance, in a GARCH framework, with a skewed Student-t distribution for innovations, such as the model proposed by Hansen (1994) and extended by Jondeau and Rockinger (2003a) for time-varying higher moments.”
- Extreme US Stock Market Fluctuations in the Wake of 9/11 (2003, background): “For example, Koedijk et al. (1990) study the (heavy) tails of foreign exchange rate returns. Jansen and de Vries (1991) and Longin (1996) analyze stock market booms and busts whereas de Haan et al.”
- Extreme Downside Risk and Expected Stock Returns (2012, unknown): “Early applications of EVT have been largely limited to documenting fat tail evidence for market indices (Longin, 1996) or establishing the relation between tails of different stock indices (Longin, 2000; Longin and Solnik, 2001; Jondeau and Rockinger, 2003; Poon et al., 2003, 2004).”