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The Appropriate Extreme Value Distribution for Extreme Returns: A Look at GEV& GL

Advances in Social Sciences Research Journal

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Field Value
 
Title The Appropriate Extreme Value Distribution for Extreme Returns: A Look at GEV& GL
 
Creator An, Yuan
 
Subject Finance
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extrem value
 
Description We focus on the problem of modelling extreme events in the financial market. The choice of the distribution that adequately models the extreme behavior of the financial time series. Extreme Value Theory outlines the framework for determining the best fit distribution for the data. However, the generalized extreme value distribution and the generalized Pareto distribution are the traditional distributions that most analysts resort to using. However, recent works have shown that the generalized logistic distribution can also capture the effect of the extreme due to its fat tailed characteristic. In this paper, we determine if this is true and analyze the importance of the generalized logistic distribution in modelling extreme events in the financial market in order to accurately conduct risk measure analysis. 
 
Publisher Advances in Social Sciences Research Journal
 
Contributor —
 
Date 2016-11-22
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://www.scholarpublishing.org/index.php/ASSRJ/article/view/2371
10.14738/assrj.311.2371
 
Source Advances in Social Sciences Research Journal; Vol 3, No 11 (2016): Advances in Social Sciences Research Journal
10.14738/assrj.311.2016
 
Language eng
 
Relation http://www.scholarpublishing.org/index.php/ASSRJ/article/view/2371/pdf
 
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