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Extreme Risk and Fat-tails Distribution Model:Empirical Analysis

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  • Onour, Ibrahim

Abstract

This paper investigates estimation of extreme risk in a number of stock markets in the Gulf Cooperation Council (GCC) countries , Saudi, Kuwait, and United Arab Emirates, in addition to S& P 500 stock index, using the Generalized Pareto Distribution (GPD) model. The estimated tails parameter values for stock returns of Kuwait, Saudi, and Dubai, markets show the likelihood of significant extreme losses as well as significant extreme gains, compared to the case of more mature S&P 500 stock returns, which exhibit possibility of significant extreme losses with insignificant gain prospects.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 17736.

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Date of creation: 28 Jun 2009
Date of revision: 20 Sep 2009
Handle: RePEc:pra:mprapa:17736

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Keywords: VaR; Expected shortfall; risk; GCC stock markets;

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  1. Olivier V. Pictet & Michel M. Dacorogna & Ulrich A. Muller, 1996. "Heavy tails in high-frequency financial data," Working Papers, Olsen and Associates 1996-12-11, Olsen and Associates.
  2. Gencay, Ramazan & Selcuk, Faruk, 2004. "Extreme value theory and Value-at-Risk: Relative performance in emerging markets," International Journal of Forecasting, Elsevier, Elsevier, vol. 20(2), pages 287-303.
  3. Pierre Giot and S»bastien Laurent, 2001. "Value-At-Risk For Long And Short Trading Positions," Computing in Economics and Finance 2001, Society for Computational Economics 94, Society for Computational Economics.
  4. Olivier V. Pictet & Michel M. Dacorogna & Ulrich A. Muller, 1996. "Hill, Bootstrap and Jackknife Estimators for Heavy Tails," Working Papers, Olsen and Associates 1996-12-10, Olsen and Associates.
  5. Paul H. Kupiec, 1995. "Techniques for verifying the accuracy of risk measurement models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 95-24, Board of Governors of the Federal Reserve System (U.S.).
  6. GIOT, Pierre & LAURENT, Sébastien, . "Value-at-Risk for long and short trading positions," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -1707, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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