Location of Repository

Estimating the probability of large negative stock market

By Phillip Kostov and Seamus McErlean
Topics: N300, G300
Publisher: Philip Kostov & Seamus Mcerlean
OAI identifier: oai:clok.uclan.ac.uk:1413
Provided by: CLoK

Suggested articles

Preview

Citations

  1. (1967). A compound events model for security prices, doi
  2. (1975). A Simple General Approach to Inference about the Tail of a Distribution,
  3. (1996). Beyond the sample: extreme quantile and probability estimation with application to financial data, Mimeo, Tinbergen Institute, Rotterdam, cited in Danielsson and de Vries
  4. (1992). Capital Ideas,
  5. (1998). Dangers of data-driven inference: The case of calendar effects in stock returns. doi
  6. (1983). Estimating the Stable Index α in Order to Measure Tail Thickness: A Critique,
  7. (2000). Extremes and Integrated Risk Management.
  8. (1981). Interest rate risk and capital adequacy for traditional bank and financial intermediaries,
  9. (1928). Limiting forms of the frequency distribution of the largest or smallest member of a sample,
  10. (1963). Mandelbrot and the Stable Paretian Hypothesis,
  11. (1999). Modelling Extremal Events, 2nd edition,
  12. (1984). Models of Stock Returns - A Comparison,
  13. (1989). On the estimation of the extreme-value index and large quantile estimation,
  14. (1996). Practical Analysis of Extreme Values.
  15. (1952). Safety first and the holding of assets, doi
  16. (1994). Safety First Portfolio Selection, extreme value theory and long run risks,
  17. (1987). Slow variation with remainder: theory and applications,
  18. (1975). Statistical Inference using extreme order statistics, doi
  19. (1958). Statistics of Extremes,
  20. (2001). Stock market crashes: Some quantitative results based on extreme value theory, Derivatives Use, Trading and Regulation,
  21. (1943). Sur la distribution limite de terme maximum d’une série alétoire,
  22. (1997). Tail index and quantile estimation with very high frequency data,
  23. (2001). Tail-index estimates in small samples,
  24. (1996). The Asymptotic Distribution of Extreme Stock Market Returns,
  25. (1964). The Random Character of Stock Market Prices.
  26. (1996). The Stable Paretian Hypothesis and the Frequency of Large Returns: doi
  27. (1963). The Variation of Certain Speculative Prices, doi
  28. (1990). Using the bootstrap to estimate mean squared error and select smoothing parameter in non-parametric problems,

To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.