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Extreme returns are important

Author(s)
Cotter, John  
Uri
http://hdl.handle.net/10197/1645
Date Issued
2004
Date Available
2009-11-25T15:25:54Z
Abstract
Focuses on the importance of the accurate modelling of market risk. Dates of extreme trading events experienced by derivative traders; Standard approach to modelling any market movement and its implications; Use of extreme value theory in providing accurate tail risk measures.
Type of Material
Journal Article
Publisher
Henry Stewart Publications
Journal
Derivatives Use, Trading & Regulation
Volume
10
Issue
2
Start Page
101
End Page
104
Copyright (Published Version)
Henry Stewart Publications
Subject – LCSH
Risk assessment
Extreme value theory
Derivative securities
Web versions
http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=14409491&site=ehost-live
Language
English
Status of Item
Peer reviewed
ISSN
1357-0927
This item is made available under a Creative Commons License
https://creativecommons.org/licenses/by-nc-sa/1.0/
File(s)
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cotterj_article_pre_016.pdf

Size

160.35 KB

Format

Adobe PDF

Checksum (MD5)

308c9fb05ced19d2a021f37ff7c97488

Owning collection
Business Research Collection

Item descriptive metadata is released under a CC-0 (public domain) license: https://creativecommons.org/public-domain/cc0/.
All other content is subject to copyright.

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