Title: Mandelbrot's Extremism
Authors: Beirlant, Jan
Schoutens, Wim
Segers, Johan
Issue Date: 6-Dec-2004
Publisher: K.U.Leuven U.C.S. Report
Series Title: vol:2004 issue:08
Abstract: In the sixties Mandelbrot already showed that extreme price swings are more likely than some of us think or incorporate in our models. A modern toolbox for analyzing such rare events can be found in the field of extreme value theory. At the core of extreme value theory lies the
modelling of maxima over large blocks of observations and of excesses over high thresholds. The general validity of these models makes them suitable for out-of-sample extrapolation. By way of illustration we assess
the likeliness of the crash of the Dow Jones on October 19, 1987, a loss that was more than twice as large as on any other single day from 1954 until 2004.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Statistics Section

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