Cotter, John (2006): Modelling catastrophic risk in international equity markets: An extreme value approach. Published in: Applied Financial Economic Letters , Vol. 2, (2006)
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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.
|Item Type:||MPRA Paper|
|Original Title:||Modelling catastrophic risk in international equity markets: An extreme value approach|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
G - Financial Economics > G1 - General Financial Markets > G10 - General
|Depositing User:||John Cotter|
|Date Deposited:||13. Jun 2007|
|Last Modified:||14. Feb 2013 03:22|
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