Economics, Econometrics and Finance
8 years ago

New study reveals key to accurately predicting extreme financial market events.

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Archives of Business Research
The Distribution Analysis for Extreme Returns of Nikkei 225 Index: Based on the Extreme Value Distribution of GEV and GL
Yuan An, Ernest Agyemang Duah

Paper Summary

The article examines how to model extreme events in the financial market, focusing on the Nikkei 225 Index. By using the generalized logistic distribution, researchers found a suitable way to capture extreme behavior in financial time series data. This distribution's fat-tailed characteristic helps accurately analyze risk in the market.

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