Classifying Returns as Extreme: European Stock and Bond Markets
I 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.
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.:
- Kee-Hong Bae & G. Andrew Karolyi & Rene M. Stulz, 2001.
"A new approach to measuring financial contagion,"
743, Federal Reserve Bank of Chicago.
- Christiansen, Charlotte, 2014.
"Integration of European bond markets,"
Journal of Banking & Finance,
Elsevier, vol. 42(C), pages 191-198.
- Charlotte Christiansen & Angelo Ranaldo, 2007.
"Extreme Coexceedances in New EU Member States’ Stock Markets,"
CREATES Research Papers
2007-34, School of Economics and Management, University of Aarhus.
- Christiansen, Charlotte & Ranaldo, Angelo, 2009. "Extreme coexceedances in new EU member states' stock markets," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1048-1057, June.
- Charlotte Christiansen & Angelo Ranaldo, 2008. "Extreme Coexceedances in New EU Member States' Stock Markets," Working Papers 2008-10, Swiss National Bank.
- Nicole M. Boyson & Christof W. Stahel & René M. Stulz, 2010. "Hedge Fund Contagion and Liquidity Shocks," Journal of Finance, American Finance Association, vol. 65(5), pages 1789-1816, October.
- ROCKINGER, Michael & JONDEAU, Eric, 2001.
"Testing for differences in the tails of stock-market returns,"
Les Cahiers de Recherche
739, HEC Paris.
- Jondeau, Eric & Rockinger, Michael, 2003. "Testing for differences in the tails of stock-market returns," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 559-581, December.
- Straetmans, Stefan & Candelon, Bertrand, 2013. "Long-term asset tail risks in developed and emerging markets," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 1832-1844.
- Cumperayot, Phornchanok & Keijzer, Tjeert & Kouwenberg, Roy, 2006. "Linkages between extreme stock market and currency returns," Journal of International Money and Finance, Elsevier, vol. 25(3), pages 528-550, April.
- Markwat, Thijs & Kole, Erik & van Dijk, Dick, 2009.
"Contagion as a domino effect in global stock markets,"
Journal of Banking & Finance,
Elsevier, vol. 33(11), pages 1996-2012, November.
- Markwat, T.D. & Kole, H.J.W.G. & van Dijk, D.J.C., 2008. "Contagion as Domino Effect in Global Stock Markets," ERIM Report Series Research in Management ERS-2008-071-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
When requesting a correction, please mention this item's handle: RePEc:aah:create:2013-37. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.