Applications of extreme value theory in finance.

• المؤلفون الرئيسيون: Lim, Sharon Chin Wei., Lim, York Mun., Peh, Lay Hui.
• مؤلفون آخرون: Cheang, Gerald Hock Lye
• التنسيق: Final Year Project
• منشور في: 2008
• الموضوعات: DRNTU::Business::Finance
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/10411

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...