On moment condition failure in German stock returns: an application of recent advances in extreme value statistics

@article{Lux2000OnMC,
  title={On moment condition failure in German stock returns: an application of recent advances in extreme value statistics},
  author={Thomas Lux},
  journal={Empirical Economics},
  year={2000},
  volume={25},
  pages={641-652}
}
Abstract. This note reconsiders divergent results on the extremal behaviour of German stock returns that have been published recently. In particular, investigations of this issue have arrived at different conclusions regarding the finiteness of the second moment of the return distributions. Here we apply some newly developed, 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… CONTINUE READING