The magnitude of a market crash can be predicted [An article from: Journal of Banking and Finance]

This digital document is a journal article from Journal of Banking and Finance, published by Elsevier in . The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
Could the magnitude of the stock market crash of 19.10.1987 be predicted on the base of the data available on the eve of ''the black Monday''? How far can the financial market fall, say, once in 40years? We demonstrate that modern methods of Extreme Value Theory can help in answering these questions.