Show simple item record

dc.contributor.authorGençay, R.en_US
dc.contributor.authorSelçuk, F.en_US
dc.contributor.authorUlugülyagci, A.en_US
dc.date.accessioned2019-02-11T18:52:10Z
dc.date.available2019-02-11T18:52:10Z
dc.date.issued2001en_US
dc.identifier.issn1081-1826
dc.identifier.urihttp://hdl.handle.net/11693/49275
dc.description.abstractFrom 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.en_US
dc.language.isoEnglishen_US
dc.source.titleStudies in Nonlinear Dynamics & Econometricsen_US
dc.relation.isversionofhttps://doi.org/10.2202/1558-3708.1080en_US
dc.subjectExtreme value theoryen_US
dc.subjectRisk managementen_US
dc.subjectSoftwareen_US
dc.titleEVIM: a software package for extreme value analysis in MATLABen_US
dc.typeArticleen_US
dc.departmentDepartment of Economicsen_US
dc.citation.spage213en_US
dc.citation.epage239en_US
dc.citation.volumeNumber5en_US
dc.citation.issueNumber3en_US
dc.identifier.doi10.2202/1558-3708.1080en_US
dc.publisherWalter de Gruyter GmbHen_US
dc.identifier.eissn1558-3708


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record