Co-dependence of extreme events in high frequency FX returns

Arnold Polanski and Evarist Stoja

Journal of International Money and Finance, 2014, vol. 44, issue C, 164-178

Abstract: In this paper, we investigate extreme events in high frequency, multivariate FX returns within a purposely built framework. We generalize univariate tests and concepts to multidimensional settings and employ these novel techniques for parametric and nonparametric analysis. In particular, we investigate and quantify the co-dependence of cross-sectional and intertemporal extreme events. We find evidence of the cubic law of extreme returns, their increasing and asymmetric dependence and of the scaling property of extreme risk in joint symmetric tails.

Keywords: High frequency returns; Distributional characteristics; Multidimensional risk; Dependence in risk; Extreme risk assessment; Multidimensional value at risk (search for similar items in EconPapers)
JEL-codes: C14 C51 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:44:y:2014:i:c:p:164-178

DOI: 10.1016/j.jimonfin.2014.02.001

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