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Activity Number:
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238
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Type:
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Contributed
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Date/Time:
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Tuesday, August 5, 2008 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economics Statistics Section
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| Abstract - #302077 |
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Title:
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Using Time-Varying GEVs To Model Extreme Financial Returns
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Author(s):
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Mark L. Labovitz*+
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Companies:
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University of Colorado, Denver/Lipper, A Reuters Company
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Address:
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1205 S. Riverbend Court, Superior, CO, 80027,
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Keywords:
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GEV Distributions ; Financial Risk ; Financial Portfolio Returns ; Modeling Extreme Returns ; Equity Extreme Returns ; Incorporating Economic Covariates
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Abstract:
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Precise estimates of risk in portfolio returns are of paramount concern to financial professionals. The need for precision in these estimates is increasing with the increased marketplace volatility presently being observed. General Extreme Value (GEV) distributions are useful in describing the uncertainty of extreme returns. Unfortunately, the common parameterization of these distributions does not take into account changes in the market and economy over time, so extremes under a static parameterization may be considerably more conservative or optimistic than the present state of the market. The author has expanded a model for time-varying parameterization of GEV distributions and has applied it to a worldwide set of publicly traded equities. Using these time-varying parameters, changes may be described as a function of market capitalization, sector, and other economic factors.
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- The address information is for the authors that have a + after their name.
- Authors who are presenting talks have a * after their name.
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