Extreme Returns From Extreme Value Stocks: Enhancing the Value Premium

被引：1
|
作者：
Anderson, Keith [1 ]
Brooks, Chris [2 ]
机构：
[1] Univ Durham, Dept Econ & Finance, Finance, Durham, England
[2] Univ Reading, ICMA Ctr, Finance, Reading, Berks, England
来源：
JOURNAL OF INVESTING | 2007年 / 16卷 / 01期
关键词：
D O I：
10.3905/joi.2007.681825
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
引用
收藏
页码：69 / 81
页数：13
相关论文
共 50 条
  • [1] Value-at-risk and extreme value distributions for financial returns
    Tolikas, Konstantinos
    Journal of Risk, 2008, 10 (03): : 31 - 77
  • [2] Information Theoretic Ranking of Extreme Value Returns
    Parthajit Kayal
    Sumanjay Dutta
    Vipul Khandelwal
    Rakesh Nigam
    Journal of Quantitative Economics, 2021, 19 : 1 - 21
  • [3] Information Theoretic Ranking of Extreme Value Returns
    Kayal, Parthajit
    Dutta, Sumanjay
    Khandelwal, Vipul
    Nigam, Rakesh
    JOURNAL OF QUANTITATIVE ECONOMICS, 2021, 19 (01) : 1 - 21
  • [4] Extreme value estimation of the conditional risk premium in reinsurance
    Goegebeur, Yuri
    Guillou, Armelle
    Qin, Jing
    INSURANCE MATHEMATICS & ECONOMICS, 2021, 96 : 68 - 80
  • [5] Exchangeability, extreme returns and Value-at-Risk forecasts
    Huang, Chun-Kai
    North, Delia
    Zewotir, Temesgen
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2017, 477 : 204 - 216
  • [6] Stocks with extreme past returns: Lotteries or insurance?
    Barinov, Alexander
    JOURNAL OF FINANCIAL ECONOMICS, 2018, 129 (03) : 458 - 478
  • [7] Extreme value modelling of the South African Industrial Index (J520) returns using the generalised extreme value distribution
    Jakata, Owen
    Chikobvu, Delson
    INTERNATIONAL JOURNAL OF APPLIED MANAGEMENT SCIENCE, 2022, 14 (04) : 299 - 315
  • [8] The tale of the tail: extreme-value patterns of financial returns
    Corelli, Angelo
    JOURNAL OF RISK FINANCE, 2012, 13 (05) : 507 - 516
  • [9] Predicting extreme value at risk: Nonparametric quantile regression with refinements from extreme value theory
    Schaumburg, Julia
    COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2012, 56 (12) : 4081 - 4096
  • [10] Determining the premium of paddy insurance using the extreme value theory method and the operational value at risk approach
    Mathematics Study Program, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, Jl. Raya Bandung Sumedang km 21, Jatinangor, Sumedang
    45363, Indonesia
    不详
    45363, Indonesia
    不详
    43600, Malaysia
    J. Phys. Conf. Ser., 1
12345