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Co-dependence of extreme events in high frequency FX returns

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  • Polanski, Arnold
  • Stoja, Evarist

Abstract

In this paper, we investigate extreme events in high frequency, multivariate FX returns within a purposely built framework. We generalize univariate tests and concepts to multidimensional settings and employ these novel techniques for parametric and nonparametric analysis. In particular, we investigate and quantify the co-dependence of cross-sectional and intertemporal extreme events. We find evidence of the cubic law of extreme returns, their increasing and asymmetric dependence and of the scaling property of extreme risk in joint symmetric tails.

Suggested Citation

  • Polanski, Arnold & Stoja, Evarist, 2014. "Co-dependence of extreme events in high frequency FX returns," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 164-178.
    • Handle: RePEc:eee:jimfin:v:44:y:2014:i:c:p:164-178
    DOI: 10.1016/j.jimonfin.2014.02.001
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    Cited by:

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    More about this item

    Keywords

    High frequency returns; Distributional characteristics; Multidimensional risk; Dependence in risk; Extreme risk assessment; Multidimensional value at risk;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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