Classifying returns as extreme: European stock and bond markets

Charlotte Christiansen

International Review of Financial Analysis, 2014, vol. 34, issue C, 1-4

Abstract: I consider extreme returns for the stock and bond markets of 14 EU countries using two classification schemes: One, the univariate classification scheme from the previous literature that classifies extreme returns for each market separately, and two, a novel multivariate classification scheme that classifies extreme returns for several markets jointly. The new classification scheme holds about the same information as the old one, while demanding a shorter sample period. The new classification scheme is useful.

Keywords: European stock markets; European bond markets; Extreme returns; Financial crisis; Integration of financial markets (search for similar items in EconPapers)
JEL-codes: G01 G12 G15 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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Working Paper: Classifying Returns as Extreme: European Stock and Bond Markets (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:34:y:2014:i:c:p:1-4

DOI: 10.1016/j.irfa.2014.05.004

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