Extreme-Value Characteristics in Daily Time Series of Swedish Stock Returns

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Extreme-Value Characteristics in Daily Time Series of Swedish Stock Returns

Author Info

Brännäs, Kurt () (Department of Economics, Umeå University)
Quoreshi, Shahiduzzaman () (Department of Economics, Umeå University)
Simonsen, Ola () (Department of Economics, Umeå University)

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Abstract

The paper studies Swedish stock series using extreme-value theoretical approaches. In a univariate setting support is found for the Fréchet family of distributions for minima and maxima. Pairs of return series are found to be asymptotically independent throughout. The results render support for joint modelling based on flexible moment specifications or, e.g., copulas.

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Publisher Info
Paper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number 597.

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Length: 20 pages
Date of creation: 03 Dec 2002
Date of revision:
Handle: RePEc:hhs:umnees:0597

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Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden
Phone: 090 - 786 61 42
Fax: 090 - 77 23 02
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Web page: http://www.econ.umu.se/
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Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

This paper has been announced in the following NEP Reports:

NEP-ALL-2002-12-09 (All new papers)
NEP-CFN-2002-12-09 (Corporate Finance)
NEP-FMK-2002-12-09 (Financial Markets)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

François Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, 04. [Downloadable!] (restricted)
Byström, Hans, 2001. "Managing Extreme Risks in Tranquil and Volatile Markets Using Conditional Extreme Value Theory," Working Papers 2001:18, Lund University, Department of Economics.
Longin, Francois M., 2000. "From value at risk to stress testing: The extreme value approach," Journal of Banking & Finance, Elsevier, vol. 24(7), pages 1097-1130, July. [Downloadable!] (restricted)

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This page was last updated on 2009-12-4.

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