Steps in applying extreme value theory to finance : a review / by Younes Bensalah.  : FB3-2/100-20E-PDF

This paper is organized as follows. Section 2 introduces some theoretical results concerning the estimation of the asymptotic distribution of the extreme observations. Section 3 describes some data sampling problems, the choice of the threshold (or beginning of the tail), and parameter and quantile estimation. Section 4 estimates an extreme VaR and Section 5 describes the limitations of the theory. Section 6 provides a complete example of EVT techniques applied to a series of daily exchange rates of Canadian/U.S. dollars over a 5-year period (1995-2000). Section 7 concludes.--Introduction

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Renseignements sur la publication
Ministère/Organisme Bank of Canada.
Titre Steps in applying extreme value theory to finance : a review / by Younes Bensalah.
Titre de la série Bank of Canada working paper1701-93972000-20
Type de publication Série - Voir l'enregistrement principal
Langue [Anglais]
Format Électronique
Document électronique
Autres formats offerts Papier-[Anglais]
Note(s) "This paper is organized as follows. Section 2 introduces some theoretical results concerning the estimation of the asymptotic distribution of the extreme observations. Section 3 describes some data sampling problems, the choice of the threshold (or beginning of the tail), and parameter and quantile estimation. Section 4 estimates an extreme VaR and Section 5 describes the limitations of the theory. Section 6 provides a complete example of EVT techniques applied to a series of daily exchange rates of Canadian/U.S. dollars over a 5-year period (1995-2000). Section 7 concludes."--Introduction.
The ISSN (1192-5434) for the print edition has been incorrectly copied in this electronic publication.
Bibliography.
Résumé en français.
Information sur la publication Ottawa - Ontario : Bank of Canada November 2000.
Description 31p.graphs, table
ISSN 1701-9397
Numéro de catalogue
  • FB3-2/100-20E-PDF
Descripteurs Economic conditions
Stock markets
Consumerism
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