The magnitude of a market crash can be predicted

Novak, Serguei and Beirlant, J. (2006) The magnitude of a market crash can be predicted. Journal of Banking and Finance, 30 (2). pp. 453-462. ISSN 0378-4266

Full text is not in this repository.

This item is available in the Library Catalogue


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.

Item Type:Article
Research Areas:A. > School of Science and Technology > Design Engineering and Mathematics
Citations on ISI Web of Science:1
ID Code:585
Useful Links:
Deposited On:28 Nov 2008 14:24
Last Modified:24 Mar 2015 10:45

Repository staff only: item control page

Full text downloads (NB count will be zero if no full text documents are attached to the record)

Downloads per month over the past year