Modelling catastrophic risk in international equity markets: An extreme value approach

John Cotter

Papers from arXiv.org

Abstract: This letter uses the Block Maxima Extreme Value approach to quantify catastrophic risk in international equity markets. Risk measures are generated from a set threshold of the distribution of returns that avoids the pitfall of using absolute returns for markets exhibiting diverging levels of risk. From an application to leading markets, the letter finds that the Nikkei is more prone to catastrophic risk than the FTSE and Dow Jones Indexes.

Date: 2011-03
New Economics Papers: this item is included in nep-rmg
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http://arxiv.org/pdf/1103.5656 Latest version (application/pdf)

Related works:
Working Paper: Modelling Catastrophic Risk in International Equity Markets: An Extreme Value Approach (2011)
Working Paper: Modelling catastrophic risk in international equity markets: An extreme value approach (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1103.5656

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