Department of Economics and Business Economics

Classifying Returns as Extreme: European Stock and Bond Markets

Research output: Working paperResearch

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  • rp13_37

    Submitted manuscript, 253 KB, PDF document

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.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages8
Publication statusPublished - 11 Nov 2013
SeriesCREATES Research Papers
Number2013-37

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