Article ID Journal Published Year Pages File Type
5091606 Journal of Banking & Finance 2006 10 Pages PDF
Abstract
Could the magnitude of the stock market crash of 19.10.1987 be predicted on the base of the data available on the eve of “the black Monday”? How far can the financial market fall, say, once in 40 years? We demonstrate that modern methods of Extreme Value Theory can help in answering these questions.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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The magnitude of a market crash can be predicted
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