Modeling drawdowns and drawups in financial markets - Risk.net
Modeling drawdowns and drawups in financial markets - Risk.net
Modeling drawdowns and drawups in financial markets - Risk.net
Create successful ePaper yourself
Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.
68<br />
Beatriz Vaz de Melo Mendes <strong>and</strong> V<strong>in</strong>icius Ratton Br<strong>and</strong>i<br />
an exception be<strong>in</strong>g the IBOVESPA. Overall, the method presented here provides<br />
useful <strong>in</strong>sights <strong>in</strong>to the measurement of risk.<br />
REFERENCES<br />
Anderson, C. W., <strong>and</strong> Dancy, G. P. (1992). The severity of extreme events. Research Report<br />
92/593, Department of Probability <strong>and</strong> Statistic, University of Sheffield.<br />
Arneodo, A., Muzy, J. F., <strong>and</strong> Sor<strong>net</strong>te, D. (1998). Direct causal cascade <strong>in</strong> the stock market.<br />
European Physical Journal B 2, 277–82.<br />
Balkema, A. A., <strong>and</strong> de Haan, L. (1974). Residual life time at great age. Annals of Probability<br />
2, 792–804.<br />
Bekaert, G., <strong>and</strong> Harvey, C. R. (1997). Emerg<strong>in</strong>g <strong>markets</strong> volatility. Journal of F<strong>in</strong>ancial<br />
Economics 43, 29–77.<br />
Bickel, J. P., <strong>and</strong> Doksum, K. A. (1977). Mathematical Statistics: Basic Ideas <strong>and</strong> Selected<br />
Topics. Holden-Day, Inc.<br />
Chekhlov, A., Uryasev, S., <strong>and</strong> Zabarank<strong>in</strong>, M. (2000). Portfolio optimization with drawdown<br />
constra<strong>in</strong>ts. Research Report, University of Florida.<br />
Clark P. K. (1973). A subord<strong>in</strong>ate stochastic process model with f<strong>in</strong>ite variance for speculative<br />
prices. Econometrica 41, 135–55.<br />
Dacorogna, M. M., Gauvreau, C. L., Müller, U. A., Olsen, R. B., <strong>and</strong> Pictet, O. V. (1996).<br />
Chang<strong>in</strong>g time scale for short-term forecast<strong>in</strong>g <strong>in</strong> f<strong>in</strong>ancial <strong>markets</strong>. Journal of Forecast<strong>in</strong>g<br />
15(3), 203–27.<br />
Danielsson, J., <strong>and</strong> de Vries, C. G. (1997). Value-at-risk <strong>and</strong> extreme returns. Work<strong>in</strong>g paper,<br />
Department of Economics, University of Icel<strong>and</strong>.<br />
Embrechts, P., Klüppelberg, C., <strong>and</strong> Mikosch, T. (1997). Modell<strong>in</strong>g Extremal Events For<br />
Insurance And F<strong>in</strong>ance. Spr<strong>in</strong>ger-Verlag, Berl<strong>in</strong>.<br />
Embrechts, P., Resnick, S., <strong>and</strong> Samorodnitsky, G. (1998). Extreme value theory as a risk<br />
management tool. North American Actuarial Journal 3, 30–41.<br />
Fisher, R. A., <strong>and</strong> Tippett, L. H. C. (1928). Limit<strong>in</strong>g forms of the frequency distribution of<br />
the largest of smallest member of a sample. Proceed<strong>in</strong>gs of the Cambridge Philosophical<br />
Society 24, 180–90.<br />
Focardi, S. M., <strong>and</strong> Fabozzi, F. J. (2003). Fat tails, scal<strong>in</strong>g, <strong>and</strong> stable laws: A critical look at<br />
model<strong>in</strong>g extremal events <strong>in</strong> f<strong>in</strong>ancial phenomena. The Journal of <strong>Risk</strong> F<strong>in</strong>ance, 5–26.<br />
Geman, H., <strong>and</strong> Ané, T. (1996) Stochastic subord<strong>in</strong>ation, <strong>Risk</strong>, September.<br />
Ghashghaie, S., Breymann, W., Pe<strong>in</strong>ke, J., Talkner, P., <strong>and</strong> Dodge, Y. (1996) Turbulent cascades<br />
<strong>in</strong> foreign exchange <strong>markets</strong>. Nature 381, 767–70.<br />
Guillaume, D. M., Pictet, O. V., Müller, U. A., <strong>and</strong> Dacorogna, M. M. (1995). Unveil<strong>in</strong>g non<br />
l<strong>in</strong>earities through time scale transformations. Internal document OVP. http://www.olsen.<br />
ch/research/work<strong>in</strong>g-papers.html.<br />
Hs<strong>in</strong>g, T. (1987). On the characterization of certa<strong>in</strong> po<strong>in</strong>t processes. Stochastic Processes<br />
Appl. 26, 297–316.<br />
Johansen, A., <strong>and</strong> Sor<strong>net</strong>te, D. (1999). <strong>Model<strong>in</strong>g</strong> the stock market prior to large crashes. The<br />
European Physical Journal B 9, 167–74.<br />
URL: www.thejournalofrisk.com Journal of <strong>Risk</strong>