Applications of extreme value theory in finance.

• 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
• Institution: Nanyang Technological University

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...