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
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
Copyright (published version): Henry Stewart Publications
Subject LCSH: Risk assessment
Extreme value theory
Derivative securities
Language: en
Status of Item: Peer reviewed
Appears in Collections:Business Research Collection

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