Measures of financial risks and market crashes
The problem of particular importance in financial risk management is forecasting the magnitude of a market crash. We address this problem using statistical inference on heavy–tailed distributions. Our approach involves accurate estimates of the tail index, extreme quantiles, and the mean excess func...
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| Date: | 2007 |
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| Main Author: | |
| Format: | Article |
| Language: | English |
| Published: |
Інститут математики НАН України
2007
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| Online Access: | https://nasplib.isofts.kiev.ua/handle/123456789/4488 |
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| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | Measures of financial risks and market crashes / S.Y.Novak // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С. 182-193. — Бібліогр.: 24 назв.— англ. |