Dynamic extreme value models for finance

• Main Author: Ding, Irwin Wei Da
• Other Authors: Michele Nguyen
• Format: Final Year Project
• Language: English
• Published: Nanyang Technological University 2024
• Subjects: Computer and Information Science; Mathematical Sciences
• Online Access: https://hdl.handle.net/10356/175184
• Institution: Nanyang Technological University

When modelling financial data, it is important to be able to capture when anomalies happen. Being able to forecast that a certain stock price will plummet or rise beyond the normal range of fluctuations is important for risk management, portfolio management and options trading. Since forecasting can...