Modelling financial crises of global equity markets

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dc.contributor.author Cotter, John
dc.date.accessioned 2009-06-15T13:39:11Z
dc.date.available 2009-06-15T13:39:11Z
dc.date.copyright 2004, Centre for Financial Markets en
dc.date.issued 2004
dc.identifier.uri http://hdl.handle.net/10197/1181
dc.description.abstract Extreme asset price movements have major consequences for an economy’s financial stability and monetary policies. The recent equity price movements associated with financial crises appear to be more pronounced and policy makers need to make accurate predictions of the frequency and severity of these events. This paper investigates the extreme behaviour of equity market returns and quantifies the possible losses associated with financial crises. Extreme value theory that models tail realisations only is applied to equity indices representing American, Asian and European markets. The paper finds that the tail realisations are adequately modelled with the fat-tailed Fréchet distribution. Furthermore tail realisations associated with the downside of a distribution are greater than the upside. en
dc.format.extent 213408 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher University College Dublin. School of Business. Centre for Financial Markets en
dc.relation.ispartofseries Centre for Financial Markets working paper series en
dc.relation.ispartofseries WP-04-15 en
dc.subject Financial crises en
dc.subject Extreme value theory. en
dc.subject.classification G1 en
dc.subject.classification G10 en
dc.subject.lcsh Stock exchanges en
dc.subject.lcsh Financial crises en
dc.subject.lcsh Extreme value theory en
dc.title Modelling financial crises of global equity markets en
dc.type Working Paper en
dc.internal.authorid UCD0043
dc.internal.availability Full text available en
dc.internal.webversions Publisher's version en
dc.internal.webversions http://www.ucd.ie/bankingfinance/docs/wp/COTTER1.pdf en
dc.status Not peer reviewed en
dc.neeo.contributor Cotter|John|aut|UCD0043


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