 Simultaneity of Tail Events for Dynamic Conditional Distributions of Stock Market Index ReturnsRadu Lupu () Journal for Economic Forecasting, 2014, issue 4, 49-64 Abstract: The tail events represent a phenomenon long studied in the literature of stock market returns. The dynamical properties of conditional distributions are currently analyzed by means of the first four moments via Gram-Charlier likelihood functions. We propose an analysis of changes in the values of means, volatilities, skewness and kurtosis coefficients for a series of intra-daily frequency of 14 stock market returns to develop a jump detection mechanism based on the estimation of a dynamic threshold that relies on the first four moments of the distribution. Our main objective consists in the estimation of simultaneity of tail values for these moments. We consider the 5% up and 5% down event as jumps in the series of these coefficients and we compare their realizations across the series of different stock markets for simultaneity. Finally we propose an indicator that can show the degree of co-movements in the extreme values of these coefficients for different frequencies. Keywords: simultaneity indicator; dynamic threshold for jump detection; dynamic skewness and kurtosis; Gram-Charlier likelihood; stock market comovements; extreme events (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:rjr:romjef:v::y:2014:i:4:p:49-64 Access Statistics for this article Journal for Economic Forecasting is currently edited by Lucian Liviu Albu and Corina Saman More articles in Journal for Economic Forecasting from Institute for Economic Forecasting Contact information at EDIRC. |
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