Advanced Search
MyIDEAS: Login

An analysis of the extreme returns distribution: the case of the Istanbul Stock Exchange

Contents:

Author Info

  • A. Goncu
  • A. Karaman Akgul
  • O. Imamoğlu
  • M. Tiryakioğlu
  • M. Tiryakioğlu

Abstract

The assumption of normality of asset returns is widely used in financial modelling, financial regulation on risks and capital and Value-at-Risk (VaR) modelling. As observed during times of stock market crashes or financial stress, extreme returns cannot be adequately modelled using the Gaussian distribution. In this study, we use the Extreme Value Theory (EVT) to model the extreme return behaviour of the Istanbul Stock Exchange (ISE), Turkey. Three different distributions are used, namely Gumbel, Fréchet and Weibull, for modelling extreme returns over different investment horizons. The goodness-of-fit for these distributions is verified by the Anderson--Darling goodness-of-fit test. VaR is computed with the proposed distributions and backtesting results indicate that the EVT provides superior risk management in all the sub-intervals considered compared to the VaR estimation under the assumption of a normal distribution.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://hdl.handle.net/10.1080/09603107.2011.624081
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 22 (2012)
Issue (Month): 9 (May)
Pages: 723-732

as in new window
Handle: RePEc:taf:apfiec:v:22:y:2012:i:9:p:723-732

Contact details of provider:
Web page: http://www.tandfonline.com/RAFE20

Order Information:
Web: http://www.tandfonline.com/pricing/journal/RAFE20

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:22:y:2012:i:9:p:723-732. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.