Extreme value analysis of return time series: Stock market volatility and its possible causes revisited.

Title: Extreme value analysis of return time series: Stock market volatility and its possible causes revisited.
Identifier: AAI9405573
identifier: 9405573
Creator: Pericli, Andreas Neophytou.
Contributor: Salih Nefchi
Date: 1993
Language: English
Publisher: City University of New York.
Subject: Economics, Finance
Abstract: At the moment there is a plethora of research trying to examine market uncertainty or market risk through time. Most of the outstanding research links market risk to the standard deviation of the conditional or unconditional distribution of market returns. This study approaches market risk by considering the tails of the distribution of returns only. This new approach, in examining market risk through time, relies on two important observations: (i) market participants are highly concerned with the extreme returns of their portfolio, and (ii) extreme negative returns coincide with severe economic problems such as financial failures, business failures, and recessions. To this end, we consider the extreme returns of a well diversified portfolio to follow a stochastic process and we estimate crossing rates and quantile values on these extremes to see if they are statistically different through time. We also examine whether changes in the crossing rates or quantile values are correlated with important economic events.
Type: dissertation
Source: PQT Legacy CUNY.xlsx
degree: Ph.D.
Program: Economics

Media: Extreme value analysis of return time series: Stock market volatility and its possible causes revisited.