The magnitude of a market crash can be predicted
Article
Novak, S. and Beirlant, J. 2006. The magnitude of a market crash can be predicted. Journal of Banking and Finance. 30 (2), pp. 453-462.
Type | Article |
---|---|
Title | The magnitude of a market crash can be predicted |
Authors | Novak, S. and Beirlant, J. |
Abstract | Could the magnitude of the stock market crash of 19.10.1987 be predicted on the base of the data available on the eve of “the black Monday”? How far can the financial market fall, say, once in 40 years? We demonstrate that modern methods of Extreme Value Theory can help in answering these questions. |
Journal | Journal of Banking and Finance |
ISSN | 0378-4266 |
Publication dates | |
Feb 2006 | |
Publication process dates | |
Deposited | 28 Nov 2008 |
Output status | Published |
Web address (URL) | http://dx.doi.org/10.1016/j.jbankfin.2005.04.023 |
Language | English |
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