کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5084864 1477919 2014 4 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Classifying returns as extreme: European stock and bond markets
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Classifying returns as extreme: European stock and bond markets
چکیده انگلیسی


- 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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 34, July 2014, Pages 1-4
نویسندگان
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