EconPapers    
Economics at your fingertips  
 

High Watermarks of Market Risks

Bertrand Maillet, Jean-Philippe Médecin () and Thierry Michel ()
Additional contact information
Jean-Philippe Médecin: CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Thierry Michel: LODH - Banque

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: We present several estimates of measures of risk amongst the most well-known, using both high and low frequency data. The aim of the article is to show which lower frequency measures can be an acceptable substitute to the high precision measures, when transaction data is unavailable for a long history. We also study the distribution of the volatility, focusing more precisely on the slopee of the tail of the various risk measure distributions, in order to define the high watermarks of market risks. Based on estimates of the tail index of a Generalized Extreme Value density backed-out from the high frequency CAC 40 series in the period 1997-2006, using both Maximum Likelihood and L-moment Methods, we, finally find no evidence for the need of a specification with heavier tails than in the case of the traditional log-normal hypothesis.

Keywords: high frequency data; Financial crisis; volatility estimators distributions; range-based volatility; extreme value; données de haute fréquence; valeurs extrêmes; volatilité sur amplitude; estimateurs de volatilité; Crise financière (search for similar items in EconPapers)
Date: 2009-08
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00425585
References: Add references at CitEc
Citations Track citations by RSS feed

Published in Documents de travail du Centre d'Economie de la Sorbonne 2009.54 - ISSN : 1955-611X. 2009

Downloads: (external link)
https://halshs.archives-ouvertes.fr/halshs-00425585/document (application/pdf)

Related works:
Working Paper: High Watermarks of Market Risks (2009) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:hal:cesptp:halshs-00425585

Access Statistics for this paper

More papers in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Series data maintained by CCSD ().

 
Page updated 2017-05-06
Handle: RePEc:hal:cesptp:halshs-00425585