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Risk premium: insights over the threshold

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorFernandes, José L. B.
dc.contributor.authorHasman, Augusto
dc.contributor.authorPeña, Juan Ignacio
dc.date.accessioned2006-11-07T11:27:08Z
dc.date.available2006-11-07T11:27:08Z
dc.date.issued2006-05
dc.description.abstractThe aim of this paper is twofold: First to test the adequacy of Pareto distributions to describe the tail of financial returns in emerging and developed markets, and second to study the possible correlation between stock market indices observed returns and return's extreme distributional characteristics measured by Value at Risk and Expected Shortfall. We test the empirical model using daily data from 41 countries, in the period from 1995 to 2005. The findings support the adequacy of Pareto distributions and the use of a log linear regression estimation of their parameters, as an alternative for the usually employed Hill's estimator. We also report a significant relationship between extreme distributional characteristics and observed returns, especially for developed countries.
dc.format.extent534335 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.repecwb062808
dc.identifier.urihttps://hdl.handle.net/10016/123
dc.language.isoeng
dc.language.isoeng
dc.relation.hasversionhttp://e-archivo.uc3m.es/handle/10016/7070
dc.relation.ispartofseriesWorkings Paper. Bussiness Economics
dc.relation.ispartofseries2006-08
dc.rights.accessRightsopen access
dc.subject.ecienciaEmpresa
dc.titleRisk premium: insights over the threshold
dc.typeworking paper*
dspace.entity.typePublication
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