The magnitude of a market crash can be predicted

Novak, Serguei ORCID: https://orcid.org/0000-0001-7929-7641 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 [Article]

Official URL: http://dx.doi.org/10.1016/j.jbankfin.2005.04.023

Abstract

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
ISI Impact:	1
Item ID:	585
Useful Links:	Middlesex University Expert Profile
Depositing User:	Repository team
Date Deposited:	28 Nov 2008 14:24
Last Modified:	13 Oct 2016 14:12
URI:	https://eprints.mdx.ac.uk/id/eprint/585

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