Classifying Returns as Extreme: European Stock and Bond Markets

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I consider extreme returns for the stock and bond markets of 14 EU countries using two classification schemes: One, the univariate classification scheme from the previous literature that classifies extreme returns for each market separately, and two, a novel multivariate classification scheme that classifies extreme returns for several markets jointly. The new classification scheme holds about the same information as the old one, while demanding a shorter sample period. The new classification scheme is useful.
OriginalsprogEngelsk
TidsskriftInternational Review of Financial Analysis
Vol/bind34
Sider (fra-til)1-4
Antal sider4
ISSN1057-5219
DOI
StatusUdgivet - 2014

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