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      • Department of Economics
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      EVIM: a software package for extreme value analysis in MATLAB

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      Author(s)
      Gençay, R.
      Selçuk, F.
      Ulugülyagci, A.
      Date
      2001
      Source Title
      Studies in Nonlinear Dynamics & Econometrics
      Print ISSN
      1081-1826
      Electronic ISSN
      1558-3708
      Publisher
      Walter de Gruyter GmbH
      Volume
      5
      Issue
      3
      Pages
      213 - 239
      Language
      English
      Type
      Article
      Item Usage Stats
      237
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      368
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      Abstract
      From the practitioners' point of view, one of the most interesting questions that tail studies can answer is what are the extreme movements that can be expected in financial markets? Have we already seen the largest ones or are we going to experience even larger movements? Are there theoretical processes that can model the type of fat tails that come out of our empirical analysis? Answers to such questions are essential for sound risk management of financial exposures. It turns out that we can answer these questions within the framework of the extreme value theory. This paper provides a step-by-step guideline for extreme value analysis in the MATLAB environment with several examples.
      Keywords
      Extreme value theory
      Risk management
      Software
      Permalink
      http://hdl.handle.net/11693/49275
      Published Version (Please cite this version)
      https://doi.org/10.2202/1558-3708.1080
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      • Department of Economics 667
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