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Exercise

Block maxima

Until now you've worked with a portfolio of four investment banks for the period 2005 - 2010. Now you'll zero in on a single asset, the stock of General Electric, for the same period and apply extreme value theory to its time series.

In this exercise, you'll examine the time series of block maxima for GE's losses over the period 2008 - 2009, using the .resample() method for three different block lengths: one week, one month, and one quarter, visualizing each series in a plot using the axis_* plot objects.

Instructions 1/3
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  • 1
    • Resample GE's asset losses at the weekly block length.
    • Plot the resulting time series of block maxima.
  • 2
    • Next, resample GE's asset losses at the monthly block length.
    • Plot the resulting time series of block maxima.
  • 3
    • Finally, resample GE's asset losses at the quarterly block length and plot the result.
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