Arbeitspapier
Extreme value theory and the financial crisis of 2008
The paper offers an alternative approach to analyzing stock market time series data. The purpose is to develop descriptive, more intuitive, and closer to reality analogs of the behavior of US stock market prices, as indexed by the S&P500 stock price index covering the period October 2003 to October 2008. One analog developed is the escalator principle and the blind man. The approach is to treat prices as a random and independent variable and use extreme value theory to judge probabilistically whether prices and their attributes are from an initial universe or whether there has been a regime change. The attributes include the level, first difference, second difference and third difference of the ordered price series. Various graphing tools are used, such as, probability paper and different specifications of exponential functions representing cumulative probability distributions. The argument is that traditional time-series analysis implies a given universe, usually normal with either a constant or time-dependent variance (or measureable risk) and consequently does not handle well uncertainty (nonmeasureable risk) due to regime changes. The analogs show the investor how to determine when a regime change has likely occurred.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2009-03
- Klassifikation
-
Wirtschaft
Econometric and Statistical Methods: Other
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Econometric and Statistical Methods: Special Topics: Other
General Financial Markets: General (includes Measurement and Data)
- Thema
-
S&P500
Probability
Regime
Uncertainty
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Gander, James P.
- Ereignis
-
Veröffentlichung
- (wer)
-
The University of Utah, Department of Economics
- (wo)
-
Salt Lake City, UT
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Gander, James P.
- The University of Utah, Department of Economics
Entstanden
- 2009
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