The distribution of the extreme daily share returns in the Athens stock exchange
运用极值理论分析雅典股票交易所1986至2001年日收益率下尾的渐近分布，发现广义逻辑分布能较好描述极端最小值，且参数随时间变化、尾部变薄，对改进市场风险测量有参考价值。
Abstract Extreme Value Theory (EVT) methods are used to investigate the asymptotic distribution of the lower tail for daily returns in the Athens Stock Exchange (ASE) over the period 1986 to 2001. Overall, the Generalised Logistic (GL) distribution is found to provide adequate descriptions of the stochastic behaviour of the ASE index extreme minima over the period studied. However, using moving windows techniques we show that the parameters of this distribution appear to vary with a tendency to become less fat tailed over time. This paper argues that market risk measurement models that are able to exploit this time varying behaviour could lead to more accurate risk estimates and therefore, have potentially important implications for risk assessment.