Analysis of extreme events [47]

Go to: Summary | Previous | Next   
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

Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile