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

Kurt Brännäs (), A.M.M. Shahiduzzaman Quoreshi () and Ola Simonsen ()
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Ola Simonsen: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden

No 597, Umeå Economic Studies from Umeå University, Department of Economics

Abstract: 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.

Keywords: Value-at-Risk; minimum/maximum return; crossing (search for similar items in EconPapers)
JEL-codes: C14 C22 C32 G11 G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn and nep-fmk
Date: 2002-12-03
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Persistent link: http://EconPapers.repec.org/RePEc:hhs:umnees:0597

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