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About 2004 - Modeling Drawdowns and Drawups in Financial Markets - Mendes
This document summarizes a research paper that models drawdowns and drawups in financial markets. Drawdowns refer to consecutive price drops, while drawups are consecutive price increases. The researchers use extreme value theory distributions to model the severity and duration of drawdowns and drawups. They fit modified generalized Pareto distributions and stretched exponential distributions to drawdown and drawup data from nine stock market indices. This allows them to estimate drawdown-at-risk, which quantifies the risk of extreme losses over a given time period.
Detailed Information
| Author: | ['Carlos'] |
|---|---|
| Publication Year: | 2021 |
| Pages: | 18 |
| Language: | English |
| Format: | |
| Price: | FREE |
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