Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7348400 | Economics Letters | 2018 | 12 Pages |
Abstract
We investigate the contemporaneous relation between return and transaction volume in distribution tails under the restrictions on transactions due to the capital controls implemented on the Athens Stock Exchange in July 2015. We use bivariate extreme value theory to model the tail dependence structure. We show that restrictions on transactions have an impact on the activity of market participants.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Konstantinos Gkillas, François Longin,