کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5084864 | 1477919 | 2014 | 4 صفحه PDF | دانلود رایگان |

- I consider the stock and bond markets of 14 EU countries.
- I suggest a new classification scheme for extreme returns.
- The new scheme considers all markets jointly and requires a shorter sample period.
- The new scheme works very well for bond markets.
- The new scheme works best for the most recent period for stock markets.
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.
Journal: International Review of Financial Analysis - Volume 34, July 2014, Pages 1-4