Forecasting Extreme Events on Financial Markets by Nastase Ionut

Author:Nastase, Ionut [Nastase, Ionut]
Language: eng
Format: epub
Published: 2019-09-06T16:00:00+00:00

Results and discussions

In this study case, I analyzed and interpreted over 300 outputs and charts considering all the indices and periods analysed all leading to the same conclusion – the probability of extreme events occuring on financial markets increase if according to normality distribution analysis we obtain negative skewness values greater than 1 and kurtosis above 3.

3.1 Graphic analysis

In chart 3.1.1 we can observe the annual evolution of the return vs risk for Dow Jones Industrial Average Index in 2000-2017 period. It is obvious the moment of the real estate bubble burst from 2008, a period characterized by extreme high risk and negative return.

Download

Copyright Disclaimer:
This site does not store any files on its server. We only index and link to content provided by other sites. Please contact the content providers to delete copyright contents if any and email us, we'll remove relevant links or contents immediately.