eprintid: 3536
rev_number: 5
eprint_status: archive
userid: 1138
dir: disk0/00/00/35/36
datestamp: 2007-06-13
lastmod: 2019-09-28 06:47:31
status_changed: 2007-11-07 02:16:25
type: paper
metadata_visibility: show
abstract: Extreme price movements associated with tail returns are catastrophic for all investors
and it is necessary to make accurate predictions of the severity of these events.
Choosing a time frame associated with large financial booms and crises this paper
investigates the tail behaviour of Asian equity market returns and quantifies two risk
measures, quantiles and average losses, along with their associated average waiting
periods. Extreme value theory using the Peaks over Threshold method generates the
risk measures where tail returns are modelled with a fat-tailed Generalised Pareto
Distribution. We find that lower tail risk measures are more severe than upper tail
realisations at the lowest probability levels. Moreover, the Kuala Lumpar Composite
exhibits the largest risk measures.
creators_name: Cotter, John
creators_id: john.cotter@ucd.ie
date: 2007
date_issue: 2007
file_format: pdf
file_url: http://mpra.ub.uni-muenchen.de/3536/01/MPRA_paper_3536.pdf
full_text_status: public
identifierabstract: http://mpra.ub.uni-muenchen.de/3536/
ispublished: unpub
language: en
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subjects: G15
subjects: G1
title: Extreme risk in Asian equity markets
citation:   Cotter, John  (2007): Extreme risk in Asian equity markets.    
document_url: https://mpra.ub.uni-muenchen.de/3536/1/MPRA_paper_3536.pdf