The magnitude of a market crash can be predicted.
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Could the magnitude of the stock market crash of 19.10.1987 be predicted on the base of the data available on the eve of “the black Monday”? How far can the financial market fall, say, once in 40 years? We demonstrate that modern methods of Extreme Value Theory can help in answering these questions.
|Research Areas:||Business > Finance & Accounting|
|Citations on ISI Web of Science:||1|
|Deposited On:||28 Nov 2008 14:24|
|Last Modified:||06 Feb 2013 11:05|
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