Extreme risk in Asian equity markets
AbstractExtreme price movements associated with tail returns are catastrophic for all investors and it is necessary to make accurate predictions of the severity of these events. Choosing a time frame associated with large financial booms and crises this paper investigates the tail behaviour of Asian equity market returns and quantifies two risk measures, quantiles and average losses, along with their associated average waiting periods. Extreme value theory using the Peaks over Threshold method generates the risk measures where tail returns are modelled with a fat-tailed Generalised Pareto Distribution. We find that lower tail risk measures are more severe than upper tail realisations at the lowest probability levels. Moreover, the Kuala Lumpar Composite exhibits the largest risk measures.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 3536.
Date of creation: 2007
Date of revision:
Find related papers by JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G1 - Financial Economics - - General Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-06-18 (All new papers)
- NEP-RMG-2007-06-18 (Risk Management)
- NEP-SEA-2007-06-18 (South East Asia)
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