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

Abstract

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

Christiansen, Charlotte, Classifying Returns as Extreme: European Stock and Bond Markets (May 7, 2014). Available at SSRN: https://ssrn.com/abstract=2348625 or http://dx.doi.org/10.2139/ssrn.2348625

Charlotte Christiansen (Contact Author)

Aarhus University - CREATES ( email )

Fuglesangs Alle 4
Aarhus V, DK 8210
Denmark

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