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Is the US stock market getting riskier?

Author

Listed:
  • Suarez, Ronny

Abstract

In this paper, we compared the distribution of the S&P 500 Index monthly returns of the period 1957-1986 against the period 1987-2016 to evaluate the presence of extreme events. The last 30 years have recorded a higher (lower) probability to exceed a given negative (positive) monthly return compare with the probability of exceedance of the three previous decades

Suggested Citation

  • Suarez, Ronny, 2017. "Is the US stock market getting riskier?," MPRA Paper 80337, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:80337
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    More about this item

    Keywords

    S&P500; Generalized Pareto Distribution; Return Level;
    All these keywords.

    JEL classification:

    • C0 - Mathematical and Quantitative Methods - - General
    • G0 - Financial Economics - - General

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