Classifying Returns as Extreme: European Stock and Bond Markets
AbstractI consider the stock and bond markets of 14 EU countries. I use two classifi?cation schemes for de?fining extreme returns: One, the existing univariate classi?fication scheme which considers each market separately. Two, the new multivariate classi?fication 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 fi?nancial 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.
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Bibliographic InfoPaper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2013-37.
Date of creation: 11 Nov 2013
Date of revision:
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Web page: http://www.econ.au.dk/afn/
European stock markets; European bond markets; Extreme returns; Financial crisis; Integration of ?financial markets;
Find related papers by JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-16 (All new papers)
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