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
  • [31] Modeling extreme returns and asymmetric dependence structures of hedge fund strategies using extreme value theory and copula theory
    Viebig, Jan
    Poddig, Thorsten
    JOURNAL OF RISK, 2010, 13 (02): : 23 - 55
  • [32] Condensation and extreme value statistics
    Evans, Martin R.
    Majumdar, Satya N.
    JOURNAL OF STATISTICAL MECHANICS-THEORY AND EXPERIMENT, 2008,
  • [33] On Weierstrass extreme value theorem
    Enrique Martinez-Legaz, Juan
    OPTIMIZATION LETTERS, 2014, 8 (01) : 391 - 393
  • [34] Reliability for extreme value distributions
    Nadarajah, S
    MATHEMATICAL AND COMPUTER MODELLING, 2003, 37 (9-10) : 915 - 922
  • [35] On Optimization and Extreme Value Theory
    Jürg Hüsler
    Pedro Cruz
    Andreia Hall
    Carlos M. Fonseca
    Methodology And Computing In Applied Probability, 2003, 5 : 183 - 195
  • [36] EXTREME VALUE ANALYSIS IN METEOROLOGY
    TABONY, RC
    METEOROLOGICAL MAGAZINE, 1983, 112 (1329): : 77 - 98
  • [37] INEQUALITIES IN EXTREME VALUE THEORY
    GALAMBOS, J
    ADVANCES IN APPLIED PROBABILITY, 1988, 20 (01) : 4 - 4
  • [38] Extreme Value Analysis: an Introduction
    Charras-Garrido, Myriam
    Lezaud, Pascal
    JOURNAL OF THE SFDS, 2013, 154 (02): : 66 - 97
  • [39] Value based Extreme Programming
    Yap, Monica
    AGILE 2006, Proceedings, 2006, : 175 - 182
  • [40] A MODIFIED EXTREME VALUE PROBLEM
    EPSTEIN, B
    BULLETIN OF THE AMERICAN MATHEMATICAL SOCIETY, 1948, 54 (07) : 658 - 659