The DOI matches its Crossref record.
The Asymptotic Distribution of Extreme Stock Market Returns
Open accessAbstract
This article presents a study of extreme stock market price movements. According to extreme value theory, the form of the distribution of extreme returns is precisely known and independent of the process generating returns. Using data for an index of the most traded stocks on the New York Stock Exchange for the period 1885-1990, it is shown empirically that the extreme returns obey a Frechet distribution.
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Citations
Cited by
Analysis of Financial Time Series
(2006) · Technometrics · doi:10.1198/tech.2006.s405 · Cited by 2,348
Handbook of Quantile Regression
(2017) · doi:10.1201/9781315120256 · Cited by 392
Metadata
- Authors
- Longin, F. M.
- Venue
- The Journal of Business
- Publisher
- University of Chicago Press
- Published
- 1996-01
- Volume
- 69
- Issue
- 3
- Pages
- 383
- ISSN
- 0021-9398 (ISSN-L)
- 1537-5374
- OpenAlex
- W1967723308
- Cited by
- 509
- References
- 0
- FWCI
- 17.08
- Type
- journal article
- Language
- en
- Open access
- green
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- CoChat. (2026). Citation check: The Asymptotic Distribution of Extreme Stock Market Returns. https://app.cochat.ai/papers/10.1086/209695
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- Longin, F. M. (1996). The Asymptotic Distribution of Extreme Stock Market Returns. The Journal of Business. https://doi.org/10.1086/209695
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
