[go: up one dir, main page]

  EconPapers    
Economics at your fingertips  
 

Abnormal Returns, Risk, and Options in Large Data Sets

Silvia Caserta (), Jon Danielsson and Casper de Vries
Additional contact information
Silvia Caserta: Erasmus University Rotterdam

No 98-107/2, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: Large data sets in finance with millions of observations have becomewidely available. Such data sets enable the construction of reliablesemi-parametric estimates of the risk associated with extreme pricemovements. Our approach is based on semi-parametric statisticalextreme value analysis, and compares favourably with the conventionalfinance normal distribution based approach. It is shown that theefficiency of the estimator of the extreme returns may benefit fromhigh frequency data. Empirical tail shapes are calculated for theGerman Mark-US Dollar foreign exchange rate, and we use the semi-parametric tail estimates in combination with the empiricaldistribution function to evaluate the returns on exotic options.

Keywords: Extreme value theory; tail estimation; high frequency data; exotic options (search for similar items in EconPapers)
Date: 1998-10-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://papers.tinbergen.nl/98107.pdf (application/pdf)

Related works:
Journal Article: Abnormal returns, risk, and options in large data sets (1998) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:19980107

Access Statistics for this paper

More papers in Tinbergen Institute Discussion Papers from Tinbergen Institute Contact information at EDIRC.
Bibliographic data for series maintained by Tinbergen Office +31 (0)10-4088900 ().

 
Page updated 2024-12-19
Handle: RePEc:tin:wpaper:19980107