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

  • Brännäs, Kurt

    ()

    (Department of Economics, Umeå University)

  • Quoreshi, Shahiduzzaman

    ()

    (Department of Economics, Umeå University)

  • Simonsen, Ola

    ()

    (Department of Economics, Umeå University)

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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File URL: http://www.econ.umu.se/DownloadAsset.action?contentId=73624&languageId=3&assetKey=ues597
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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
Contact details of provider: Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden
Phone: 090 - 786 61 42
Fax: 090 - 77 23 02
Web page: http://www.econ.umu.se/
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  1. 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.
  2. 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.
  3. François Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, 04.
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