An analysis of the extreme returns distribution: the case of the Istanbul Stock Exchange
作者: A. GoncuA. Karaman AkgulO. ImamoğluM. Tiryakioğlu M. Tiryakioğlu
作者单位: 1Department of Mathematical Sciences , Xi’an Jiaotong-Liverpool University , 111 Ren’ai Road , Suzhou 215123 , China
2Faculty of Economics and Administrative Sciences, Yildiz Technical University , Yildiz/Istanbul , 34349, Turkey
3Faculty of Management, Istanbul Technical University , Macka/İstanbul , 34367, Turkey
4Financial Consultant , Atlanta , Georgia
5School of Engineering, University of North Florida , 1 UNF Drive , Jacksonville , FL 32224 , USA
刊名: Applied Financial Economics, 2012, Vol.22 (9), pp.723-732
来源数据库: Taylor & Francis Journal
DOI: 10.1080/09603107.2011.624081
关键词: extreme value theoryvalue-at-riskbacktestingIstanbul Stock Exchange
原始语种摘要: The assumption of normality of asset returns is widely used in financial modelling, financial regulation on risks and capital and Value-at-Risk (VaR) modelling. As observed during times of stock market crashes or financial stress, extreme returns cannot be adequately modelled using the Gaussian distribution. In this study, we use the Extreme Value Theory (EVT) to model the extreme return behaviour of the Istanbul Stock Exchange (ISE), Turkey. Three different distributions are used, namely Gumbel, Fréchet and Weibull, for modelling extreme returns over different investment horizons. The goodness-of-fit for these distributions is verified by the Anderson–Darling goodness-of-fit test. VaR is computed with the proposed distributions and backtesting results indicate that the EVT provides...
全文获取路径: Taylor & Francis  (合作)
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