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EVIM: A Software Package for Extreme Value Analysis in MATLAB
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October 1, 2001
From the practitioners' point of view, one of the most interesting questions that tail studies can answer is what are the extreme movements that can be expected in financial markets? Have we already seen the largest ones or are we going to experience even larger movements? Are there theoretical processes that can model the type of fat tails that come out of our empirical analysis? Answers to such questions are essential for sound risk management of financial exposures. It turns out that we can answer these questions within the framework of the extreme value theory. This paper provides a step-by-step guideline for extreme value analysis in the MATLAB environment with several examples.
Published Online: 2001-10-1
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
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Articles in the same Issue
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- Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis
- Evaluating the Persistence and Structuralist Theories of Unemployment from a Nonlinear Perspective
- Energy Shocks and Financial Markets: Nonlinear Linkages
- Algorithm
- EVIM: A Software Package for Extreme Value Analysis in MATLAB
