Modelling the distribution of the extreme share returns in Singapore
This study aims to model the probability distribution of the extreme daily share returns in Singapore Stock Exchange over the period 1973 to 2005. For that reason the suitability of the Generalized Extreme Value (GEV), Generalized Pareto (GP) and Generalized Logistic (GL) distributions are investigated. The empirical results indicate that the GL distribution best fitted the empirical data over the period of study. Using the too much celebrated GEV and GP distributions for risk assessment could, therefore, lead to underestimation of the extreme risk which could potentially lead to inadequate protection against catastrophic losses.
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- Gencay, Ramazan & Selcuk, Faruk, 2004. "Extreme value theory and Value-at-Risk: Relative performance in emerging markets," International Journal of Forecasting, Elsevier, vol. 20(2), pages 287-303.
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- John Cotter & Kevin Dowd, 2011. "Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements," Working Papers 200516, Geary Institute, University College Dublin.
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- G. D. Gettinby & C. D. Sinclair & D. M. Power & R. A. Brown, 2004. "An Analysis of the Distribution of Extreme Share Returns in the UK from 1975 to 2000," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5-6), pages 607-646.
- G. D. Gettinby & C. D. Sinclair & D. M. Power & R. A. Brown, 2006. "An analysis of the distribution of extremes in indices of share returns in the US, UK and Japan from 1963 to 2000," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(2), pages 97-113.
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