Extreme Value Theory Modelling of the Behaviour of Johannesburg Stock Exchange Financial Market Data
Financial market data are abundant with outliers, and the search for an appropriate extreme value theory (EVT) approach to apply is an endless debate in the statistics of extremes research. This paper uses EVT methods to model the five-year daily all-share total return index (ALSTRI) and the daily U...
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| Autores principales: | , |
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| Formato: | Artigo |
| Lenguaje: | Inglês |
| Publicado: |
MDPI AG
2023-11-01
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| Colección: | International Journal of Financial Studies |
| Materias: | |
| Acceso en línea: | https://www.mdpi.com/2227-7072/11/4/130 |
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