Is the United States Stock Market Getting Riskier?
In this paper, we compared the distribution of the S&P 500 Index monthly returns of the period 1957-1986 against the period 1987-2016 to evaluate the presence of extreme events. The last 30 years have recorded a higher (lower) probability to exceed a given negative (positive) monthly return compare with the probability of exceedance of the three previous decades.
 Coles, S. 2001. An Introduction to Statistical Modeling of Extreme Values. Springer-Verlag London. ISBN: 978-1-4471-3675-0, DOI 10.1007/978-1-4471-3675-0
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