Applications of extreme value theory in finance.

Applications of extreme value theory in finance.

This project attempts to model the extreme returns of different financial assets. The primary aim of this project is to attempt to fit extreme value distributions to daily returns for stock prices, currency exchange rates and commodity prices, namely STI, Yen/USD exchange rates and gold prices respe...

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Main Authors: Lim, Sharon Chin Wei., Lim, York Mun., Peh, Lay Hui.
Other Authors: Cheang, Gerald Hock Lye
Format: Final Year Project
Published: 2008
Subjects:
DRNTU::Business::Finance
Online Access:http://hdl.handle.net/10356/10411
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Institution: Nanyang Technological University
id sg-ntu-dr.10356-10411
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spelling sg-ntu-dr.10356-104112023-05-19T07:23:13Z Applications of extreme value theory in finance. Lim, Sharon Chin Wei. Lim, York Mun. Peh, Lay Hui. Cheang, Gerald Hock Lye Nanyang Business School DRNTU::Business::Finance This project attempts to model the extreme returns of different financial assets. The primary aim of this project is to attempt to fit extreme value distributions to daily returns for stock prices, currency exchange rates and commodity prices, namely STI, Yen/USD exchange rates and gold prices respectively. Our results show that extreme returns for the three assest, STI, YEN and gold, follow a Fr?chet distribution. Hence, we find that extreme value analysis is indeed a valuable tool in financial risk analysis. 2008-09-24T07:43:23Z 2008-09-24T07:43:23Z 2007 2007 Final Year Project (FYP) http://hdl.handle.net/10356/10411 Nanyang Technological University application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
topic DRNTU::Business::Finance
spellingShingle DRNTU::Business::Finance
Lim, Sharon Chin Wei.
Lim, York Mun.
Peh, Lay Hui.
Applications of extreme value theory in finance.
description This project attempts to model the extreme returns of different financial assets. The primary aim of this project is to attempt to fit extreme value distributions to daily returns for stock prices, currency exchange rates and commodity prices, namely STI, Yen/USD exchange rates and gold prices respectively. Our results show that extreme returns for the three assest, STI, YEN and gold, follow a Fr?chet distribution. Hence, we find that extreme value analysis is indeed a valuable tool in financial risk analysis.
author2 Cheang, Gerald Hock Lye
author_facet Cheang, Gerald Hock Lye
Lim, Sharon Chin Wei.
Lim, York Mun.
Peh, Lay Hui.
format Final Year Project
author Lim, Sharon Chin Wei.
Lim, York Mun.
Peh, Lay Hui.
author_sort Lim, Sharon Chin Wei.
title Applications of extreme value theory in finance.
title_short Applications of extreme value theory in finance.
title_full Applications of extreme value theory in finance.
title_fullStr Applications of extreme value theory in finance.
title_full_unstemmed Applications of extreme value theory in finance.
title_sort applications of extreme value theory in finance.
publishDate 2008
url http://hdl.handle.net/10356/10411
_version_ 1772825297002954752

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