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

Author

Listed:
  • Brännäs, Kurt

    (Department of Economics, Umeå University)

  • Quoreshi, Shahiduzzaman

    (Department of Economics, Umeå University)

  • Simonsen, Ola

    (Department of Economics, Umeå University)

Abstract

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.

Suggested Citation

  • Brännäs, Kurt & Quoreshi, Shahiduzzaman & Simonsen, Ola, 2002. "Extreme-Value Characteristics in Daily Time Series of Swedish Stock Returns," Umeå Economic Studies 597, Umeå University, Department of Economics.
    • Handle: RePEc:hhs:umnees:0597
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    References listed on IDEAS

    as
    1. Longin, Francois M., 2000. "From value at risk to stress testing: The extreme value approach," Journal of Banking & Finance, Elsevier, vol. 24(7), pages 1097-1130, July.
    2. François Longin & Bruno Solnik, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, April.
    3. Bystrom, Hans N. E., 2004. "Managing extreme risks in tranquil and volatile markets using conditional extreme value theory," International Review of Financial Analysis, Elsevier, vol. 13(2), pages 133-152.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Söderberg, Jonas, 2008. "Test of the Gaussian Copula on the Swedish Stock Market," CAFO Working Papers 2009:9, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics.

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    More about this item

    Keywords

    Value-at-Risk; minimum/maximum return; crossing;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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