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...
Saved in:
| Main Authors: | , , |
|---|---|
| Other Authors: | |
| Format: | Final Year Project |
| Published: |
2008
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/10411 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Nanyang Technological University |