Message-ID: <10153554.1075858453566.JavaMail.evans@thyme> Date: Sat, 2 Jun 2001 13:53:32 -0700 (PDT) From: vkaminski@aol.com To: mmer@mathematik.tu-muenchen.de Subject: Re: A question regarding your paper Cc: kamins@enron.com Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Bcc: kamins@enron.com X-From: VKaminski@aol.com@ENRON X-To: mmer@mathematik.tu-muenchen.de X-cc: kamins@enron.com X-bcc: X-Folder: \Vince_Kaminski_Jun2001_10\Deleted Items X-Origin: Kaminski-V X-FileName: vkamins.pst Dear Ms. Emmer: Thanks again for your message. I have replicated, give or take a rounding error, your results. In my original calculations, I used n = 251 (not 108 as you have suggested). This is the number of daily prices I have obtained for the DAX index, using Bloomberg for the time interval you have indicated in your paper. The number of exceedances I got using my sample is N_u = 57, and that is not much different from your number (56). Where does the difference in n come from? Did you use a different time interval than indicated on page 2 of your paper (29-Aug-95 to 26-Aug-96)? Regards, Vince Kaminski