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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| Department/Agency | Bank of Canada. |
|---|---|
| Title | Steps in applying extreme value theory to finance : a review / by Younes Bensalah. |
| Series title | Bank of Canada working paper1701-93972000-20 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Other formats | Paper-[English] |
| 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. |
| Publishing information | Ottawa - Ontario : Bank of Canada November 2000. |
| Description | 31p.graphs, table |
| ISSN | 1701-9397 |
| Catalogue number |
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| Subject terms | Economic conditions Stock markets Consumerism |