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 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.
Article PDF
Similar content being viewed by others
Avoid common mistakes on your manuscript.
Author information
Authors and Affiliations
Additional information
First version received: Dec. 1998/Final version received: April 2000
Rights and permissions
About this article
Cite this article
Lux, T. On moment condition failure in German stock returns: an application of recent advances in extreme value statistics. Empirical Economics 25, 641–652 (2000). https://doi.org/10.1007/s001810000038
Issue Date:
DOI: https://doi.org/10.1007/s001810000038