On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective
利用极端值理论，仅关注大额股票收益，在统一框架下评估收益分布的尖峰特征，从而为大幅波动生成稳健概率，将近期股市波动置于历史背景中。
Numerous articles have investigated the distribution of share prices, and find that the yields are leptokurtic. There is still controversy about the amount of leptokurtosis, and hence about the most appropriate distribution to use in modeling returns. This controversy has proven hard to resole, as the alternatives are non-nested. We propose to employ extreme value theory focusing exclusively on the larger observations, in order to assess the leptokurtosis within a unified framework. This enables one to generate robust probabilities on large changes, which put the recent stock market swings into historical perspective.