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| 001 | 9.571562 |
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| 003 | CaOODSP |
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| 005 | 20211126112844 |
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| 007 | cr ||||||||||| |
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| 008 | 150406|2000||||xxc|||||o f|0| 0 eng|d |
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| 022 | |a1701-9397 |
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| 040 | |aCaOODSP|beng |
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| 043 | |an-cn--- |
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| 086 | 1 |aFB3-2/100-20E-PDF |
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| 110 | 2 |aBank of Canada. |
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| 245 | 10|aSteps in applying extreme value theory to finance : |h[electronic resource]|ba review / |cby Younes Bensalah. |
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| 260 | |aOttawa - Ontario : |bBank of Canada |cNovember 2000. |
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| 300 | |a31p.|bgraphs, table |
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| 490 | 1 |aBank of Canada working paper|x1701-9397|v2000-20 |
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| 500 | |a"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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| 500 | |aThe ISSN (1192-5434) for the print edition has been incorrectly copied in this electronic publication. |
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| 504 | |aBibliography. |
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| 520 | 3 |aThis 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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| 546 | |aRésumé en français. |
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| 590 | |a11-19-Supp|b2011-09-23 |
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| 690 | 07|aEconomic conditions|2gcpds |
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| 690 | 07|aStock markets|2gcpds |
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| 690 | 07|aConsumerism|2gcpds |
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| 720 | 1 |aBensalah, Younes |
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| 776 | 0#|tSteps in applying extreme value theory to finance : |w(CaOODSP)9.615408 |
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| 830 | #0|aWorking paper (Bank of Canada)|x1701-9397|v2000-20|w(CaOODSP)9.504604 |
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| 856 | 40|ahttp://publications.gc.ca|qPDF|s131 KB|uhttps://publications.gc.ca/collections/Collection/FB3-2-100-20E.pdf|y2000-20 |
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