EVIM: A Software Package for Extreme Value Analysis in MATLAB

Ramazan Gencay, Faruk Selcuk and Ulugülyagci Abdurrahman
Additional contact information
Ulugülyagci Abdurrahman: Bilkent University

Studies in Nonlinear Dynamics & Econometrics, 2001, vol. 5, issue 3, 29

Abstract: 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.

Keywords: extreme value theory; risk management; software (search for similar items in EconPapers)
Date: 2001
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.2202/1558-3708.1080 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:sndecm:v:5:y:2001:i:3:n:al1

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/snde/html

DOI: 10.2202/1558-3708.1080

Access Statistics for this article

Studies in Nonlinear Dynamics & Econometrics is currently edited by Bruce Mizrach

More articles in Studies in Nonlinear Dynamics & Econometrics from De Gruyter
Bibliographic data for series maintained by Peter Golla ().