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Capturing extremes

Tolikas, Konstantinos 2008. Capturing extremes. Presented at: World Congress of Engineering - WCE 2008, London, UK, 2-4 July 2008. Published in: Ao, S. I., Gelman, L., Hukins, D. W. L., Hunter, A. and Korsunsky, A. M. eds. Proceedings of The World Congress on Engineering 2008. Hong Kong: Newswood Limited, pp. 1027-1031.

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The ability of the Generalised Extreme Value and Generalised Logistic distributions to describe adequately extreme financial returns is examined. The empirical results strongly reject the Generalised Extreme Value in favour of the fatter tailed Generalised Logistic. This implies that risk measurements which are based on the Generalised Extreme Value may underestimate risk since it assigns lower probabilities to the really ruinous events located deep into the tails of the returns distribution.

Item Type: Conference or Workshop Item (Paper)
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Subjects: H Social Sciences > HD Industries. Land use. Labor
Uncontrolled Keywords: Extreme Value Theory, Probability Weighted Moments, Anderson-Darling goodness of fit test, Generalised Extreme Value distribution, Generalised Logistic distribution
Publisher: Newswood Limited
ISBN: 9789881701237
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Last Modified: 23 Oct 2017 14:15

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