Classifying Returns as Extreme: European Stock and Bond Markets

Charlotte Christiansen

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: I consider the stock and bond markets of 14 EU countries. I use two classifi?cation schemes for de?fining extreme returns: One, the existing univariate classi?fication scheme which considers each market separately. Two, the new multivariate classi?fication scheme that considers all the markets jointly whereby a shorter sample period is needed. For the bond markets the simultaneous extreme return variable (used for analyzing integration and contagion of fi?nancial markets) is not statistically different for the two schemes. For the stock markets there are differences, but they are disappearing in the most recent sample period.

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)
Pages: 8
Date: 2013-11-11
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Journal Article: Classifying returns as extreme: European stock and bond markets (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2013-37

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