Extreme returns are important

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Title: Extreme returns are important
Authors: Cotter, John
Permanent link: http://hdl.handle.net/10197/1645
Date: 2004
Online since: 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
Other versions: http://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=14409491&site=ehost-live
Language: en
Status of Item: Peer reviewed
Appears in Collections:Business Research Collection

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