Distribution of extreme changes in Asian currencies: tail index estimates and value-at-risk calculations

Raj Aggarwal and Min Qi

Applied Financial Economics, 2009, vol. 19, issue 13, 1083-1102

Abstract: This study examines the distribution of extreme values in daily currency changes for nine Asian countries. Using an improved estimator, extreme changes in Asian currencies can generally be represented by Frechet distributions. Our results are robust to the choice of the numeraire currency, the Asian crises and the 1985 Plaza Agreement. These results are important as asset and derivative pricing models, and Value-at-Risk (VaR) calculations depend on accurate assessments of the distribution of extreme values. Indeed, VaRs based on our fitted extreme distributions are similar to VaRs based on historical distributions but are multiples of those based on normal distributions.

Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100802298026 (text/html)
Access to full text is restricted to subscribers.

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:taf:apfiec:v:19:y:2009:i:13:p:1083-1102

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603100802298026

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().