Co-dependence of Extreme Events in High Frequency FX Returns

Arnold Polanski and Evarist Stoja
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Arnold Polanski: University of East Anglia
Evarist Stoja: University of Bristol

No 40, University of East Anglia Applied and Financial Economics Working Paper Series from School of Economics, University of East Anglia, Norwich, UK.

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.

Date: 2013-03
New Economics Papers: this item is included in nep-ets, nep-mst and nep-rmg
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https://ueaeco.github.io/working-papers/papers/afe/UEA-AFE-040.pdf (application/pdf)

Related works:
Journal Article: Co-dependence of extreme events in high frequency FX returns (2014)
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