Modelling catastrophic risk in international equity markets : an extreme value approach
|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||Series/Report no.:||Centre for Financial Markets working paper series; WP-06-06||Copyright (published version):||2005, Centre for Financial Markets||Subject LCSH:||Extreme value theory
|Other versions:||http://www.ucd.ie/bankingfinance/docs/wp/wp0606.pdf||Language:||en||Status of Item:||Not peer reviewed|
|Appears in Collections:||Centre for Financial Markets Working Papers|
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