- Author
- Majewska Justyna (University of Economics in Katowice, Poland)
- Title
- Applications of extreme value mixture models to the global stock exchanges
- Source
- Prace Naukowe / Uniwersytet Ekonomiczny w Katowicach. Modelowanie wielowymiarowych struktur danych i analiza ryzyka, 2015, s. 65-81, tab., wykr., bibliogr. 7 poz.
- Keyword
- Giełda, Zarządzanie ryzykiem, Modele ekonometryczne, Modele matematyczne
Stock exchange, Risk management, Econometric models, Mathematical models - Abstract
- During the last decade financial markets have realized the importance of monitoring the risk. The classical variance does not provide us information "if things go wrong, how wrong they can be". Measures which are the functions of extreme quantiles of the data distribution allows us to answer this question. But the first task is to identify which values are extreme. In practice this is done by graphical methods or by other ad hoc methods that impose an arbitrary threshold (5%, 10%, ...). The threshold selection is a challenging area in the extreme value literature. In some cases, it is likely that there are multiple suitable thresholds in some datasets. Different threshold choice may result in different tail behavior and corresponding with different return levels. This chapter reviews the key historical threshold estimation approaches for extreme value applications and the latest developments. There is a certain focus on recently developed mixture model approach, which deals with both estimation and formal uncertainty quantification. We also present an empirical application where the extreme values of financial indexes of major stock markets are identified via presented methods. (fragment of text)
- Accessibility
- The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics - Bibliography
-
- Behrens C.N., Lopes H.F., Gamerman D. (2004), Bayesian Analysis of Extreme Events with Threshold Estimation, "Statistical Modelling", 4(3).
- Coles S. (2001), An Introduction to Statistical Modeling of Extreme Values, Springer Series in Statistics, Springer-Verlag, London.
- Embrechts P., Kluppelberg C., Mikosch T. (1997), Modelling Extremal Events for Insurance and Finance. Applications of Mathematics, Springer-Verlag, New York.
- Embrechts P., Lindskog F., McNeil A. (2003), Handbook of Heavy Tailed Distributions in Finance, Chapter 8, Modelling Dependence With Copulas And Applications To Risk Management, Handbooks in Finance, Elsevier.
- Scarrott C.J., MacDonald A.E. (2012), A Review of Extreme Value Threshold Estimation and Uncertainty Quantification, "REVSTAT Statistical Journal", 10 (1).
- [www 1] www.bloomberg.com.
- [www 2] www.stooq.pl.
- Cited by
- Language
- eng
