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| Author: | Tolikas, K. Koulakiotis, A. Brown, R.A. |
| Title: | Extreme risk and value-at-risk in the German stock market |
| Journal: | European Journal of Finance
2007 : APR/JUN, VOL. 13:3-4, p. 373-395 |
| Index terms: | stock markets value-at-risk risk analysis statistical methods theories models Germany |
| Language: | eng |
| Abstract: | This study uses Extreme Value Theory methods to examine the distribution (henceforth as: dstr./dstrs.) of the extreme minima in the German stock market from 1973 to 2001. This paper includes the following aspects: (i) a wide set of dstrs., (ii). L-moment diagrams for identifying the most appropriate dstrs., (iii). 'probability weighted moments' in estimating the dstrs. parameters, and (iv). the Anderson-Darling goodness of fit test is employed to test the fit adequacy. It is found that the 'generalized logistic' dstr. provides adequate descriptions of the extreme minima of the German stock market during the studied period. |
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