Are Extreme Negative Return Events Independent of the Market?
H Dong, X Guo, H Reichgelt - The Journal of Wealth Management, 2020 - pm-research.com
This study defines an extreme daily loss event as a daily return lower than 97.5% of their
historical daily returns. We also define an extreme loss of an asset as forgivable if it happens …
historical daily returns. We also define an extreme loss of an asset as forgivable if it happens …