Extreme-value and margin setting with and without price limits

2001 ◽  
Vol 41 (3) ◽  
pp. 365-385 ◽  
Author(s):  
John Paul Broussard
Keyword(s):  
Extreme Value ◽  
Price Limits ◽  
Margin Setting

Price Limit and Volatility in Taiwan Stock Exchange: Some Additional Evidence from the Extreme Value Approach

2007 ◽  
Vol 10 (01) ◽  
pp. 51-61 ◽  
Author(s):  
Aktham I. Maghyereh ◽  
Haitham A. Al Zoubi ◽  
Haitham Nobanee
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Extreme Value ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Price Limits ◽  
Stock Volatility ◽  
Price Limit ◽  
Taiwan Stock Exchange

We reexamine the effects of price limits on stock volatility of Taiwan Stock Exchange using a new methodology based on the Extreme-Value technique. Consistent with the advocates of price limits, we find that stock market volatility is sharply moderated under more restrictive price limits.

Modeling European hot spells using extreme value analysis

2014 ◽  
Vol 58 (3) ◽  
pp. 193-207 ◽  
Author(s):  
C Photiadou ◽  
MR Jones ◽  
D Keellings ◽  
CF Dewes
Keyword(s):  
Extreme Value ◽  
Extreme Value Analysis ◽  
Value Analysis ◽  
Hot Spells

Impact of Price Limits on Tail Risk

2018 ◽  
Vol 31 (2) ◽  
pp. 259-301
Author(s):  
Sekyung Oh ◽  
◽  
Hyukdo Kee
Keyword(s):  
Price Limits ◽  
Tail Risk
Sign in / Sign up

Export Citation Format

Share Document