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Dynamics of a financial market index after a crash

Lillo, Fabrizio; Mantegna, Rosario N - In: Physica A: Statistical Mechanics and its Applications 338 (2004) 1, pp. 125-134

We discuss the statistical properties of index returns in a financial market just after a major market crash. The observed non-stationary behavior of index returns is characterized in terms of the exceedances over a given threshold. This characterization is analogous to the Omori law originally...

Persistent link: https://www.econbiz.de/10010589340

On the closed form solutions for non-extensive Value at Risk

Stavroyiannis, S.; Makris, I.; Nikolaidis, V. - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 17, pp. 3536-3542

We examine possible closed form solutions for the cumulative distribution function for systems where the probability density function can be adequately described by the generalized non-extensive statistics framework. Application to financial time series as a possible Value at Risk technique...

Persistent link: https://www.econbiz.de/10010590466

Frequency domain principal components estimation of fractionally cointegrated processes: Some new results and an application to stock market volatility

Morana, Claudio - In: Physica A: Statistical Mechanics and its Applications 355 (2005) 1, pp. 165-175

In this paper we present new results for the frequency domain principal components estimator of the cointegration space for stationary long memory processes of Morana [Appl. Econ. Lett. 11 (2004) 837], concerning asymptotic properties, identification of the cointegration space and the linkage...

Persistent link: https://www.econbiz.de/10010589506

Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets

Pafka, Szilárd; Kondor, Imre - In: Physica A: Statistical Mechanics and its Applications 299 (2001) 1, pp. 305-310

We analyze the performance of RiskMetrics, a widely used methodology for measuring market risk. Based on the assumption of normally distributed returns, the RiskMetrics model completely ignores the presence of fat tails in the distribution function, which is an important feature of financial...

Persistent link: https://www.econbiz.de/10011060326

Measuring daily Value-at-Risk of SSEC index: A new approach based on multifractal analysis and extreme value theory

Wei, Yu; Chen, Wang; Lin, Yu - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 9, pp. 2163-2174

Shanghai Stock Exchange Component (SSEC) Index as example, this paper proposes a new method to measure daily Value-at-Risk (VaR …) by combining the newly introduced multifractal volatility (MFV) model and the extreme value theory (EVT) method. Two VaR … price volatility in Chinese stock market. VaR measures based on the multifractal volatility model and EVT method outperform …

Persistent link: https://www.econbiz.de/10010872923

Extremal behavior of a coupled continuous time random walk

Schumer, Rina; Baeumer, Boris; Meerschaert, Mark M. - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 3, pp. 505-511

Coupled continuous time random walks (CTRWs) model normal and anomalous diffusion of random walkers by taking the sum of random jump lengths dependent on the random waiting times immediately preceding each jump. They are used to simulate diffusion-like processes in econophysics such as stock...

Persistent link: https://www.econbiz.de/10010874142

Semi-nonparametric VaR forecasts for hedge funds during the recent crisis

Brio, Esther B. Del; Mora-Valencia, Andrés; Perote, Javier - In: Physica A: Statistical Mechanics and its Applications 401 (2014) C, pp. 330-343

The need to provide accurate value-at-risk (VaR) forecasting measures has triggered an important literature in … econophysics. Although these accurate VaR models and methodologies are particularly demanded for hedge fund managers, there exist … few articles specifically devoted to implement new techniques in hedge fund returns VaR forecasting. This article advances …

Persistent link: https://www.econbiz.de/10010753616

Extreme-value dependence: An application to exchange rate markets

Fernandez, Viviana - In: Physica A: Statistical Mechanics and its Applications 377 (2007) 2, pp. 583-589

Extreme value theory (EVT) focuses on modeling the tail behavior of a loss distribution using only extreme values rather than the whole data set. For a sample of 10 countries with dirty/free float regimes, we investigate whether paired currencies exhibit a pattern of asymptotic dependence. That...

Persistent link: https://www.econbiz.de/10010871832

On geometric record times

Eliazar, Iddo - In: Physica A: Statistical Mechanics and its Applications 348 (2005) C, pp. 181-198

We study geometric record times in continuous-time systems where events of random (positive) magnitudes occur stochastically. Namely, given that the current record level is x, and given a parameter k1, we address the following question: how long would we have to wait till the occurrence of a...

Persistent link: https://www.econbiz.de/10010589314

Universal power laws in the threshold network model: A theoretical analysis based on extreme value theory

Fujihara, A.; Uchida, M.; Miwa, H. - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 5, pp. 1124-1130

We theoretically and numerically investigated the threshold network model with a generic weight function where there were a large number of nodes and a high threshold. Our analysis was based on extreme value theory, which gave us a theoretical understanding of the distribution of independent and...

Persistent link: https://www.econbiz.de/10010589315

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