Extreme-Value Characteristics in Daily Time Series of Swedish Stock Returns
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References listed on IDEAS
- 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.
- François Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, April.
- Bystrom, Hans N. E., 2004.
"Managing extreme risks in tranquil and volatile markets using conditional extreme value theory,"
International Review of Financial Analysis,
Elsevier, vol. 13(2), pages 133-152.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Söderberg, Jonas, 2008. "Test of the Gaussian Copula on the Swedish Stock Market," CAFO Working Papers 2009:9, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics.
More about this item
KeywordsValue-at-Risk; minimum/maximum return; crossing;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis 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)
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