Black swans in the brazilian stock market
This study analyzes extreme values in the daily returns of 45 Brazilian stocks between 2 January 1995 and 18 March 2009. The incidence of observations outside the range of three standard deviationsfrom the mean is at least five times greater than under the normal distribution. The occurrence of extr...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Sociedade Brasileira de Pesquisa Operacional
2013-08-01
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| Series: | Pesquisa Operacional |
| Subjects: | |
| Online Access: | http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382013000200006&lng=en&tlng=en |