Extreme risk in resource indices and the generalized logistic distribution

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Extreme risk in resource indices and the generalized logistic distribution

The resource sector accounts for a substantial proportion of market capitalization on the US and South African stock exchanges. Hence, severe movements in related stock prices can drastically affect the risk profile of the entire market. Extreme value theory provides a basis for evaluating and forec...

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Bibliographic Details
Main Authors:	Huang, Chun-Kai, Pather, V., Hammujuddy, J., Chinhamu, K.
Format:	Journal Article
Published:	2017
Online Access:	http://hdl.handle.net/20.500.11937/68019

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