Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "1190"
  #_source: array:26 [
    "id" => "1190"
    "slug" => "extreme-value-theory-presentation-and-application-to-the-us-equity-market"
    "yearMonth" => "2000-08"
    "year" => "2000"
    "title" => "Extreme Value Theory: Presentation and Application to the US Equity Market"
    "description" => "LONGIN, F. (2000). Extreme Value Theory: Presentation and Application to the US Equity Market. <i>La Revue de l'AFPEN</i>, pp. 19-25."
    "authors" => array:1 [
      0 => array:3 [
        "name" => "LONGIN François"
        "bid" => "B00000328"
        "slug" => "longin-francois"
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2021-07-13 14:30:15"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => "19-25"
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue professionnelle"
      "en" => "Professional journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "La modélisation des variations d'une grandeur, comme la rentabilité des actifs financiers, est souvent réalisée à l'aide de simulation d'une loi normale. Or la loi normale ne rend qu'imparfaitement compte des variations extrêmes observées sur les marchés. Cet article présente la théorie des valeurs extrêmes et l'applique aux rentabilités du marché des actions américaines. Il montre qu'empiriquement le comportement statistique des rentabilités extrêmes est bien modélisé par une loi de Fréchet et, qu'en conséquence, les rentabilités ne peuvent être modélisées par une loi normale."
      "en" => "This paper presents the extreme value theory and an application to the US equity market. Extreme events in finance such as stock market crashes, bond market collapses, foreign exchange breakdowns and other financial crises are of great interest for investors, corporate and financial institutions, and regulators. The extreme value theory brings a quantitative point of view of these rare but important events."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-12-03T17:21:44.000Z"
    "docTitle" => "Extreme Value Theory: Presentation and Application to the US Equity Market"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/longin-francois">LONGIN François</a>"
    "docDescription" => "<span class="document-property-authors">LONGIN François</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2000</span>"
    "keywordList" => ""
    "docPreview" => "<b>Extreme Value Theory: Presentation and Application to the US Equity Market</b><br><span>2000-08 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Extreme Value Theory: Presentation and Application to the US Equity Market</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 9.19509
  +"parent": null
}