Advanced Search
MyIDEAS: Login

Mandelbrot's Extremism

Contents:

Author Info

  • Beirlant, J.
  • Schoutens, W.
  • Segers, J.J.J.

    (Tilburg University, Center for Economic Research)

Registered author(s):

    Abstract

    In the sixties Mandelbrot already showed that extreme price swings are more likely than some of us think or incorporate in our models.A modern toolbox for analyzing such rare events can be found in the field of extreme value theory.At the core of extreme value theory lies the modelling of maxima over large blocks of observations and of excesses over high thresholds.The general validity of these models makes them suitable for out-of-sample extrapolation.By way of illustration we assess the likeliness of the crash of the Dow Jones on October 19, 1987, a loss that was more than twice as large as on any other single day from 1954 until 2004.

    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://arno.uvt.nl/show.cgi?fid=12190
    Our checks indicate that this address may not be valid because: 404 Not Found. If this is indeed the case, please notify (Richard Broekman)
    Download Restriction: no

    Bibliographic Info

    Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2004-125.

    as in new window
    Length:
    Date of creation: 2004
    Date of revision:
    Handle: RePEc:dgr:kubcen:2004125

    Contact details of provider:
    Web page: http://center.uvt.nl

    Related research

    Keywords: exceedances; extreme value theory; heavy tails; maxima;

    Find related papers by JEL classification:

    This paper has been announced in the following NEP Reports:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Benoit Mandelbrot, 1967. "The Variation of Some Other Speculative Prices," The Journal of Business, University of Chicago Press, vol. 40, pages 393.
    2. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
    3. Christopher A. T. Ferro & Johan Segers, 2003. "Inference for clusters of extreme values," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(2), pages 545-556.
    Full references (including those not matched with items on IDEAS)

    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:dgr:kubcen:2004125. 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: (Richard Broekman).

    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.