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US stock returns: are there seasons of excesses? (English) Zbl 1400.91693

Summary: This article explores the existence of seasonality in the tails of stock returns. We use a parametric model to describe the returns, and obtain a proxy of the innovation distribution via a pre-processing model. Then, we develop a change-point algorithm capturing changes in the tails of the innovations. We confirm the good performance of the procedure through extensive Monte Carlo experiments. An empirical investigation using US stocks data shows that while the lower tail of the innovations is approximately constant over the year, the upper tail is larger in Winter than in Summer in 9 out of 12 industries.

MSC:

91G99 Actuarial science and mathematical finance
62P05 Applications of statistics to actuarial sciences and financial mathematics
91B84 Economic time series analysis

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