Co-dependence of extreme events in high frequency FX returns |
| |
Affiliation: | 1. University of East Anglia, Norwich Research Park, Norwich NR4 7TJ, UK;2. School of Economics, Finance and Management, University of Bristol, 8 Woodland Road, Bristol BS8 1TN, 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. |
| |
Keywords: | High frequency returns Distributional characteristics Multidimensional risk Dependence in risk Extreme risk assessment Multidimensional value at risk C14 C51 |
本文献已被 ScienceDirect 等数据库收录! |
|