Classifying Returns as Extreme: European Stock and Bond Markets

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  • rp13_37

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I consider the stock and bond markets of 14 EU countries. I use two classification schemes for defining extreme returns: One, the existing univariate classification scheme which considers each market separately. Two, the new multivariate classification scheme that considers all the markets jointly whereby a shorter sample period is needed. For the bond markets the simultaneous extreme return variable (used for analyzing integration and contagion of financial markets) is not statistically different for the two schemes. For the stock markets there are differences, but they are disappearing in the most recent sample period.
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider8
StatusUdgivet - 11 nov. 2013
SerietitelCREATES Research Papers
Nummer2013-37

    Forskningsområder

  • European stock markets, European bond markets, Extreme returns, Financial crisis, Integration of …financial markets

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