This note reconsiders divergent results on the extremal behaviour of German stock returns that have been published recently. In particular, recent investigations of this issue have arrived at different conclusions regarding the finiteness of the second moment of the return distributions. Here we apply some recent, improved techniques for the estimation of the so-called tail index to the time series of returns on various German stocks. We find evidence indicating that in the vast majority of cases the tails are not fat enough to conform with an infinite-variance distribution. Conflicting results in previous studies are shown to be due to different a priori choices of the size of the tail region.
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Paper provided by University of Bonn, Germany in its series Discussion Paper Serie B with number
444.
Length: pages Date of creation: Nov 1998 Date of revision: Handle: RePEc:bon:bonsfb:444
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