Cotter, John (2004): Downside Risk for European Equity Markets. Published in: Applied Financial Economics , Vol. 14, (2004): pp. 707-716.
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This paper applies extreme value theory to measure downside risk for European equity markets. Two related measures, value at risk and the excess loss probability estimator provide a coherent approach to optimally protect investor wealth opportunities for low quantile and probability combinations. The fat-tailed characteristic of equity index returns is captured by explicitly modelling tail returns only. The paper finds the DAX100 is the most volatile index, and this generally becomes more pronounced as one moves to lower quantile and probability estimates.
|Item Type:||MPRA Paper|
|Original Title:||Downside Risk for European Equity Markets|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
G - Financial Economics > G1 - General Financial Markets
|Depositing User:||John Cotter|
|Date Deposited:||12. Jun 2007|
|Last Modified:||23. Apr 2015 04:53|
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