Titlebook: Decision Technologies for Computational Finance; Proceedings of the f Apostolos-Paul N. Refenes,Andrew N. Burgess,John E Conference proceed

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A Data Matrix to Investigate Independence, Overreaction and/or Shock Persistence in Financial DataThe question of dependence of returns has been investigated in many ways. This paper proposes a matrix that sheds some light on many of these dependencies. In particular, overreaction and shock persistence and delayed reaction seem to play important roles and could well explain the presence of nonlinearities in the return series.

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Decision Technologies for Computational Finance978-1-4615-5625-1Series ISSN 1388-4301

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Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Managementities of financial asset returns, and hence holds promise for advances in the management of extreme financial risks. Our view, based on a disinterested assessment of EVT from the vantage point of financial risk management, is that the recent optimism is partly appropriate but also partly exaggerated

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