Extreme Value Theory: An Application to the Peruvian Stock Market Returns || Teoría de valores extremos: una aplicación a los retornos bursátiles peruanos
Using daily observations of the index and stock market returns for the Peruvian case from January 3, 1990 to May 31, 2013, this paper models the distribution of daily loss probability, estimates maximum quantiles and tail probabilities of this distribution, and models the extremes through a maximum...
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| Format: | Article |
| Language: | English |
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Pablo de Olavide University
2017-06-01
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| Series: | Revista de Métodos Cuantitativos para la Economía y la Empresa |
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| Online Access: | https://www.upo.es/revistas/index.php/RevMetCuant/article/view/2686/2136 |