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.
TypeArticle
TitleThe magnitude of a market crash can be predicted
AuthorsNovak, 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.

JournalJournal of Banking and Finance
ISSN0378-4266
Publication dates
PrintFeb 2006
Publication process dates
Deposited28 Nov 2008
Output statusPublished
Web address (URL)http://dx.doi.org/10.1016/j.jbankfin.2005.04.023
LanguageEnglish
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