Classifying Returns as Extreme: European Stock and Bond Markets
13 Pages Posted: 1 Nov 2013 Last revised: 7 May 2014
Date Written: May 7, 2014
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. 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.
Keywords: European stock markets, European bond markets, Extreme returns, Financial crisis, Integration of financial markets
JEL Classification: G01, G12, G15
Suggested Citation: Suggested Citation