Rate of convergence for maxima of random arrays with applications to stock returns

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Abstract

We study an analogue of the CLT for random arrays without uniform negligibility condition in the setting of extreme value theory. The method of probability metrics we used allows us to obtain estimates of the rate of convergence for maxima of random arrays similar in character to those in the classical CLT. We apply our results investigating the limiting behavior of the maximal upturn and downturn of stock returns.

Original languageEnglish
Pages (from-to)279-288
Number of pages10
JournalStatistics and Risk Modeling
Volume11
Issue number3
DOIs
StatePublished - Mar 1993

Keywords

  • extreme value theory
  • maxima of stock returns
  • random array

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