Classifying returns as extreme: European stock and bond markets |
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| Institution: | 1. Department of Finance, National Central University, Taiwan;2. Booth School of Business, University of Chicago, USA;1. HEC Montréal, Canada;2. Sauder School of Business, University of British Columbia, Canada;3. School of Business Administration, American University of Sharjah, United Arab Emirates;1. Department of Statistics and Actuarial Science, University of Waterloo, 200 University Avenue West, Waterloo, Ontario, Canada, N2L 3G1;2. Department of Statistics and Actuarial Science, University of Hong Kong, Pokfulam, Hong Kong;1. Department of Economics and Quantitative Methods, Westminster Business School, University of Westminster, London NW1 5LS, UK;2. Department of Economics and IME, University of Salamanca, Salamanca, Spain;1. Fachbereich Mathematik, Technische Universität Kaiserslautern, Erwin-Schrödinger Straße, 67653 Kaiserslautern, Germany;2. Fachgruppe Stochastik am Mathematischen Seminar, Christian-Albrechts-Universität zu Kiel, Ludewig-Meyn-Straße 4, 24098 Kiel, Germany;3. Department of Mathematics, SPST, University of Hamburg, Bundesstrasse 55, 20146 Hamburg, Germany;4. School of Mathematical Sciences, Dublin City University, Dublin 9, Ireland |
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| Abstract: | 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. |
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