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EVT and alternatives [5]

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Bullet points include: Time-varying nature of the world in which we live. Market / sector / instrument volatility (and maybe other distributional characteristics) change through time. Heteroscedasticity, GARCH, regime switching. Returns may be (conditionally) Normal over short time periods, but data series still (unconditionally) non-Normal when viewed over longer time periods. Selection effects, e.g. manager behaviour may (consciously or unconsciously) bias towards fat-tailed behaviour, see Kemp (2010). Crowded trades and leverage. As well as intrinsically skewed behaviour such as for individual bonds

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