Comparison of techniques for extreme values using financial data

Joan del Castillo; Maria Padilla; Isabel Serra

Comparison of techniques for extreme values using financial data

Joan del Castillo, Maria Padilla, Isabel Serra

Department of Mathematics

Universitat Autònoma de Barcelona (UAB)

Research output: Chapter in Book › Chapter › Research › peer-review

Abstract

In this article classical techniques of extreme value theory and two new statistical tools are compared through Monte Carlo tecniques and on the daily log-returns of financial data extensively studied. The data sets predate the current economic crisis and so it is possible to evaluate retrospectively the quality of market risk estimates.

Original language	English
Title of host publication	Proceedings of COMPSTAT 2014 - 21st International Conference on Computational Statistics, 2014
Pages	45-52
Number of pages	8
Publication status	Published - 2014

Publication series

Name	Proceedings of COMPSTAT 2014 - 21st International Conference on Computational Statistics

Keywords

Exponential tails
Heavy tails
Statistics of extremes
Tail index
Value at risk

Cite this

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title = "Comparison of techniques for extreme values using financial data",

abstract = "In this article classical techniques of extreme value theory and two new statistical tools are compared through Monte Carlo tecniques and on the daily log-returns of financial data extensively studied. The data sets predate the current economic crisis and so it is possible to evaluate retrospectively the quality of market risk estimates.",

keywords = "Exponential tails, Heavy tails, Statistics of extremes, Tail index, Value at risk",

author = "\{del Castillo\}, Joan and Maria Padilla and Isabel Serra",

year = "2014",

language = "English",

isbn = "283991347X",

series = "Proceedings of COMPSTAT 2014 - 21st International Conference on Computational Statistics",

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Comparison of techniques for extreme values using financial data. / del Castillo, Joan; Padilla, Maria; Serra, Isabel.
Proceedings of COMPSTAT 2014 - 21st International Conference on Computational Statistics, 2014. 2014. p. 45-52 (Proceedings of COMPSTAT 2014 - 21st International Conference on Computational Statistics).

Research output: Chapter in Book › Chapter › Research › peer-review

TY - CHAP

T1 - Comparison of techniques for extreme values using financial data

AU - del Castillo, Joan

AU - Padilla, Maria

AU - Serra, Isabel

PY - 2014

Y1 - 2014

N2 - In this article classical techniques of extreme value theory and two new statistical tools are compared through Monte Carlo tecniques and on the daily log-returns of financial data extensively studied. The data sets predate the current economic crisis and so it is possible to evaluate retrospectively the quality of market risk estimates.

AB - In this article classical techniques of extreme value theory and two new statistical tools are compared through Monte Carlo tecniques and on the daily log-returns of financial data extensively studied. The data sets predate the current economic crisis and so it is possible to evaluate retrospectively the quality of market risk estimates.

KW - Exponential tails

KW - Heavy tails

KW - Statistics of extremes

KW - Tail index

KW - Value at risk

UR - https://www.scopus.com/pages/publications/85183588327

M3 - Chapter

AN - SCOPUS:85183588327

SN - 283991347X

SN - 9782839913478

T3 - Proceedings of COMPSTAT 2014 - 21st International Conference on Computational Statistics

SP - 45

EP - 52

BT - Proceedings of COMPSTAT 2014 - 21st International Conference on Computational Statistics, 2014

ER -

Comparison of techniques for extreme values using financial data

Abstract

Publication series

Keywords

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Cite this