Classifying Returns as Extreme: European Stock and Bond Markets

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

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.
Original languageEnglish
JournalInternational Review of Financial Analysis
Volume34
Pages (from-to)1-4
Number of pages4
ISSN1057-5219
DOIs
Publication statusPublished - 2014

Bibliographical note

Campus adgang til artiklen / Campus access to the article

    Research areas

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

See relations at Aarhus University Citationformats

ID: 75518012