Modelling catastrophic risk in international equity markets : an extreme value approach

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Title: Modelling catastrophic risk in international equity markets : an extreme value approach
Authors: Cotter, John
Permanent link: http://hdl.handle.net/10197/1196
Date: 6-Apr-2005
Abstract: This letter uses the Block Maxima Extreme Value approach to quantify catastrophic risk in international equity markets. Risk measures are generated from a set threshold of the distribution of returns that avoids the pitfall of using absolute returns for markets exhibiting diverging levels of risk. From an application to leading markets, the letter finds that the Nikkei is more prone to catastrophic risk than the FTSE and Dow Jones Indexes.
Funding Details: University College Dublin faculty research funding
Type of material: Working Paper
Publisher: University College Dublin. School of Business. Centre for Financial Markets
Copyright (published version): 2005, Centre for Financial Markets
Subject LCSH: Extreme value theory
Stock exchanges
Risk--Econometric models
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Centre for Financial Markets Working Papers

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