Risk Analysis of Cumulative Intraday Return Curves

被引:4
|
作者
Kokoszka, Piotr [1 ]
Miao, Hong [2 ]
Stoev, Stilian [3 ]
Zheng, Ben [1 ]
机构
[1] Colorado State Univ, Dept Stat, Ft Collins, CO 80523 USA
[2] Colorado State Univ, Dept Finance & Real Estate, Ft Collins, CO 80523 USA
[3] Univ Michigan, Dept Stat, Ann Arbor, MI 48109 USA
关键词
cumulative intraday returns; extremes; functional data; risk measures; EXTREME-VALUE THEORY; VALUE-AT-RISK; MARKET EQUILIBRIUM;
D O I
10.1515/jtse-2018-0011
中图分类号
O1 [数学]; C [社会科学总论];
学科分类号
03 ; 0303 ; 0701 ; 070101 ;
摘要
Motivated by the risk inherent in intraday investing, we propose several ways of quantifying extremal behavior of a time series of curves. A curve can be extreme if it has shape and/or magnitude much different than the bulk of observed curves. Our approach is at the nexus of functional data analysis and extreme value theory. The risk measures we propose allow us to assess probabilities of observing extreme curves not seen in a historical record. These measures complement risk measures based on point-to-point returns, but have different interpretation and information content. Using our approach, we study how the financial crisis of 2008 impacted the extreme behavior of intraday cumulative return curves. We discover different impacts on shares in important sectors of the US economy. The information our analysis provides is in some cases different from the conclusions based on the extreme value analysis of daily closing price returns.
引用
收藏
页数:31
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