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Modelling Extreme Value Dependence In International Stock Markets
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Book Synopsis Modelling Extreme-Value Dependence in International Stock Markets by : Michael Rockinger
Download or read book Modelling Extreme-Value Dependence in International Stock Markets written by Michael Rockinger and published by . This book was released on 2002 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the finance literature, cross-sectional dependence in extreme returns of risky assets is often modelled implicitly assuming an asymptotically dependent structure. If the true dependence structure is asymptotically independent then current modelling approaches will lead to an over-estimation of the risk of simultaneous extreme events. We use two simple nonparametric measures to identify and quantify the tail dependence among stock returns in five international stock markets. We show that there is strong evidence in favour of asymptotically independent models for the tail structure of stock market returns, and that most of the extremal dependence is due to heteroskedasticity in stock returns processes. Using a range of volatility filters, we find that tail index and tail dependence can be partially captured by models for heteroskedasticity. But, from our findings, there is no clear distinction that would lead us to prefer one volatility filter over another.
Book Synopsis Return-volume Dependence and Extremes in International Equity Markets by : Terry A. Marsh
Download or read book Return-volume Dependence and Extremes in International Equity Markets written by Terry A. Marsh and published by . This book was released on 2000 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis New Extreme-value Dependence Measures and Finance Applications by : Ser-Huang Poon
Download or read book New Extreme-value Dependence Measures and Finance Applications written by Ser-Huang Poon and published by . This book was released on 2001 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Extreme Dependence in International Stock Markets by : Cathy Ning
Download or read book Extreme Dependence in International Stock Markets written by Cathy Ning and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Extreme Value Distributions by : Samuel Kotz
Download or read book Extreme Value Distributions written by Samuel Kotz and published by World Scientific. This book was released on 2000 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt: This important book provides an up-to-date comprehensive and down-to-earth survey of the theory and practice of extreme value distributions OCo one of the most prominent success stories of modern applied probability and statistics. Originated by E J Gumbel in the early forties as a tool for predicting floods, extreme value distributions evolved during the last 50 years into a coherent theory with applications in practically all fields of human endeavor where maximal or minimal values (the so-called extremes) are of relevance. The book is of usefulness both for a beginner with a limited probabilistic background and to expert in the field. Sample Chapter(s). Chapter 1.1: Historical Survey (139 KB). Chapter 1.2: The Three Types of Extreme Value Distributions (146 KB). Chapter 1.3: Limiting Distributions and Domain of Attraction (210 KB). Chapter 1.4: Distribution Function and Moments of Type 1 Distribution (160 KB). Chapter 1.5: Order Statistics, Record Values and Characterizations (175 KB). Contents: Univariate Extreme Value Distributions; Generalized Extreme Value Distributions; Multivariate Extreme Value Distributions. Readership: Applied probabilists, applied statisticians, environmental scientists, climatologists, industrial engineers and management experts."
Book Synopsis Generalized Extreme Value Distribution with Time-dependence Using the AR and MA Models in State Space Form by : Jouchi Nakajima
Download or read book Generalized Extreme Value Distribution with Time-dependence Using the AR and MA Models in State Space Form written by Jouchi Nakajima and published by . This book was released on 2009 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: "A new state space approach is proposed to model the time-dependence in an extreme value process. The generalized extreme value distribution is extended to incorporate the time-dependence using a state space representation where the state variables either follow an autoregressive (AR) process or a moving average (MA) process with innovations arising from a Gumbel distribution . Using a Bayesian approach, an efficient algorithm is proposed to implement Markov chain Monte Carlo method where we exploit a very accurate approximation of the Gumbel distribution by a ten-component mixture of normal distributions. The methodology is illustrated using extreme returns of daily stock data. The model is fitted to a monthly series of minimum returns and the empirical results support strong evidence for time-dependence among the observed minimum returns."--Authors' abstract.
Book Synopsis Modeling International Diversification Between the Chinese Stock Market and Others by : Saiful Izzuan Hussain
Download or read book Modeling International Diversification Between the Chinese Stock Market and Others written by Saiful Izzuan Hussain and published by . This book was released on 2015 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: China's stock market has grown rapidly since its introduction in 1991 and it has become one of the world's leading stock markets. This study is concerned with the dependence structures that exist between the Chinese stock market and other major stock markets including those in the US, UK, Japan, Hong Kong and Taiwan. In this research, we use time-varying copula to model dependence due to its ability to capture the non-normality distribution compared to linear correlation. Furthermore, this study uses Extreme Value Theory (EVT) to model the tails for the marginal distributions. Our results reveal a strong dependence between Chinese and Hong Kong stock markets for the upper tail dependence. Lower tail dependence exists between Taiwan markets. This indicates the boom in the Chinese stock market could affect the Hong Kong one and a crash in Taiwan could potentially damage the latter. The outcomes of this cannot be explained using linear correlation. Findings also show that the Hong Kong stock market has stronger upper dependence compared to its lower tail and this serves as an alternative diversification strategy during a downturn. These findings provide better information and suggestions for risk management, specifically in portfolio diversification and international asset allocation benefits. Chinese stock market investors could use this information to devise risk management strategies.
Book Synopsis Modeling the Dependence Between Stock Index and Exchange Returns with Copula-extreme Value Theory Based Semiparametric Approaches and Their Applications in Risk Management by : Chun-Pin Hsu
Download or read book Modeling the Dependence Between Stock Index and Exchange Returns with Copula-extreme Value Theory Based Semiparametric Approaches and Their Applications in Risk Management written by Chun-Pin Hsu and published by . This book was released on 2009 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Extreme Value Models in a Conditional Duration Intensity Framework by : Rodrigo Herrera
Download or read book Extreme Value Models in a Conditional Duration Intensity Framework written by Rodrigo Herrera and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The analysis of return series from financial markets is often based on the Peaks-over-threshold (POT) model. This model assumes independent and identically distributed observations and therefore a Poisson process is used to characterize the occurrence of extreme events. However, stylized facts such as clustered extremes and serial dependence typically violate the assumption of independence. In this paper we concentrate on an alternative approach to overcome these difficulties. We consider the stochastic intensity of the point process of exceedances over a threshold in the framework of irregularly spaced data. The main idea is to model the time between exceedances through an Autoregressive Conditional Duration (ACD) model, while the marks are still being modelled by generalized Pareto distributions. The main advantage of this approach is its capability to capture the short-term behaviour of extremes without involving an arbitrary stochastic volatility model or a prefiltration of the data, which certainly impacts the estimation. We make use of the proposed model to obtain an improved estimate for the Value at Risk. The model is then applied and illustrated to transactions data from Bayer AG, a blue chip stock from the German stock market index DAX. -- Extreme value theory ; autoregressive conditional duration ; value at risk ; self-exciting point process ; conditional intensity
Book Synopsis Extreme Dependence in Asset Markets Around the Globe by : Thijs Markwat
Download or read book Extreme Dependence in Asset Markets Around the Globe written by Thijs Markwat and published by . This book was released on 2011 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Extreme Events in Finance by : Francois Longin
Download or read book Extreme Events in Finance written by Francois Longin and published by John Wiley & Sons. This book was released on 2016-10-17 with total page 638 pages. Available in PDF, EPUB and Kindle. Book excerpt: A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance and a practical understanding of market behavior including both ordinary and extraordinary conditions. Beginning with a fascinating history of EVTs and financial modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques and how these can be implemented in financial markets. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications includes: Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk management Topical discussions on univariate and multivariate case extremes as well as regulation in financial markets Extensive references in order to provide readers with resources for further study Discussions on using R packages to compute the value of risk and related quantities The book is a valuable reference for practitioners in financial markets such as financial institutions, investment funds, and corporate treasuries, financial engineers, quantitative analysts, regulators, risk managers, large-scale consultancy groups, and insurers. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications is also a useful textbook for postgraduate courses on the methodology of EVTs in finance.
Book Synopsis Extreme Correlation of International Equity Markets by : François M. Longin
Download or read book Extreme Correlation of International Equity Markets written by François M. Longin and published by . This book was released on 2000 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Introduction to Statistical Modeling of Extreme Values by : Stuart Coles
Download or read book An Introduction to Statistical Modeling of Extreme Values written by Stuart Coles and published by Springer Science & Business Media. This book was released on 2013-11-27 with total page 219 pages. Available in PDF, EPUB and Kindle. Book excerpt: Directly oriented towards real practical application, this book develops both the basic theoretical framework of extreme value models and the statistical inferential techniques for using these models in practice. Intended for statisticians and non-statisticians alike, the theoretical treatment is elementary, with heuristics often replacing detailed mathematical proof. Most aspects of extreme modeling techniques are covered, including historical techniques (still widely used) and contemporary techniques based on point process models. A wide range of worked examples, using genuine datasets, illustrate the various modeling procedures and a concluding chapter provides a brief introduction to a number of more advanced topics, including Bayesian inference and spatial extremes. All the computations are carried out using S-PLUS, and the corresponding datasets and functions are available via the Internet for readers to recreate examples for themselves. An essential reference for students and researchers in statistics and disciplines such as engineering, finance and environmental science, this book will also appeal to practitioners looking for practical help in solving real problems. Stuart Coles is Reader in Statistics at the University of Bristol, UK, having previously lectured at the universities of Nottingham and Lancaster. In 1992 he was the first recipient of the Royal Statistical Society's research prize. He has published widely in the statistical literature, principally in the area of extreme value modeling.
Book Synopsis On extreme value statistics by : Chen Zhou
Download or read book On extreme value statistics written by Chen Zhou and published by Rozenberg Publishers. This book was released on 2008 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the 18th century, statisticians sometimes worked as consultants to gamblers. In order to answer questions like "If a fair coin is flipped 100 times, what is the probability of getting 60 or more heads?", Abraham de Moivre discovered the so-called "normal curve". Independently, Pierre-Simon Laplace derived the central limit theorem, where the normal distribution acts as the limit for the distribution of the sample mean. Nowadays, statisticians sometimes work as consultants for economists, to whom the normal distribution is far from a satisfactory model. For example, one may need to model large-impact financial events in order to to answer questions like "What is the probability of getting into a crisis period similar to the credit squeeze in 2007 in the coming 10 years?". At first glance, estimating the chances of events that rarely happen or even have never happened before sounds like a "mission impossible". The development of Extreme Value Theory (EVT) shows that it is in fact possible to achieve this goal. Different from the central limit theorem, Extreme Value Theory starts from the limit distribution of the sample maximum. Initiated by M. Frechet, R. Fisher and R. von Mises, the limit theory completed by B. Gnedenko, gave the fundamental assumption in EVT, the "extreme value condition". Statistically, the extreme value condition provides a semi-parametric model for the tails of distribution functions. Therefore it can be applied to evaluate the rare events. On the other hand, since the assumption is rather general and natural, the semi-parametric model can have extensive applications in numerous felds.
Book Synopsis Extreme Value Theory and Fat Tails in Equity Markets by : Blake LeBaron
Download or read book Extreme Value Theory and Fat Tails in Equity Markets written by Blake LeBaron and published by . This book was released on 2006 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: Extreme Value Theory (EVT) offers a powerful framework to characterize financial market crashes and booms. This paper applies EVT to model the behavior of extreme events and compares tail thickness between emerging and developed market equity return distributions. We extend previous results by augmenting parametric Monte Carlo tests with nonparametric bootstrap tests. We construct Monte Carlo and Bootstrapping experiments to estimate the statistical significance of differences in tail behavior between markets and regions. Within each market we find little evidence for asymmetry between positive and negative tails. We find mixed evidence for uniformity inside each region, and strong evidence for differences in tail behavior between emerging and developed regions. Our regional results have important implications for the expected diversification benefits of international portfolio allocation decisions.
Book Synopsis Data Science for Financial Econometrics by : Nguyen Ngoc Thach
Download or read book Data Science for Financial Econometrics written by Nguyen Ngoc Thach and published by Springer Nature. This book was released on 2020-11-13 with total page 633 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers an overview of state-of-the-art econometric techniques, with a special emphasis on financial econometrics. There is a major need for such techniques, since the traditional way of designing mathematical models – based on researchers’ insights – can no longer keep pace with the ever-increasing data flow. To catch up, many application areas have begun relying on data science, i.e., on techniques for extracting models from data, such as data mining, machine learning, and innovative statistics. In terms of capitalizing on data science, many application areas are way ahead of economics. To close this gap, the book provides examples of how data science techniques can be used in economics. Corresponding techniques range from almost traditional statistics to promising novel ideas such as quantum econometrics. Given its scope, the book will appeal to students and researchers interested in state-of-the-art developments, and to practitioners interested in using data science techniques.
Book Synopsis Modeling Dependence in Econometrics by : Van-Nam Huynh
Download or read book Modeling Dependence in Econometrics written by Van-Nam Huynh and published by Springer Science & Business Media. This book was released on 2013-11-18 with total page 570 pages. Available in PDF, EPUB and Kindle. Book excerpt: In economics, many quantities are related to each other. Such economic relations are often much more complex than relations in science and engineering, where some quantities are independence and the relation between others can be well approximated by linear functions. As a result of this complexity, when we apply traditional statistical techniques - developed for science and engineering - to process economic data, the inadequate treatment of dependence leads to misleading models and erroneous predictions. Some economists even blamed such inadequate treatment of dependence for the 2008 financial crisis. To make economic models more adequate, we need more accurate techniques for describing dependence. Such techniques are currently being developed. This book contains description of state-of-the-art techniques for modeling dependence and economic applications of these techniques. Most of these research developments are centered around the notion of a copula - a general way of describing dependence in probability theory and statistics. To be even more adequate, many papers go beyond traditional copula techniques and take into account, e.g., the dynamical (changing) character of the dependence in economics.
