Extreme-Value Characteristics in Daily Time Series of Swedish Stock Returns

The paper studies Swedish stock series using extreme-value theoretical approaches. In a univariate setting support is found for the Fréchet family of distributions for minima and maxima. Pairs of return series are found to be asymptotically independent throughout. The results render support for joint modelling based on flexible moment specifications or, e.g., copulas.

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Year of publication:	2002-12-03
Authors:	Brännäs, Kurt ; Quoreshi, Shahiduzzaman ; Simonsen, Ola
Institutions:	Institutionen för Nationalekonomi, Umeå Universitet
Subject:	Value-at-Risk \| minimum/maximum return \| crossing

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Extent:	application/pdf
Series:	Umeå Economic Studies.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Umeå Economic Studies Number 597 20 pages
Classification:	C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; C32 - Time-Series Models ; G11 - Portfolio Choice ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005424013