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| dc.contributor.author | Cotter, John | |
| dc.date.accessioned | 2009-11-20T17:29:51Z | |
| dc.date.available | 2009-11-20T17:29:51Z | |
| dc.date.copyright | 2004 Taylor & Francis Ltd | en |
| dc.date.issued | 2004 | |
| dc.identifier.citation | Applied Financial Economics | en |
| dc.identifier.issn | 0960–3107 print | |
| dc.identifier.issn | 1466–4305 online | |
| dc.identifier.uri | http://hdl.handle.net/10197/1637 | |
| dc.description.abstract | 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 a move is made to lower quantile and probability estimates. | en |
| dc.format.extent | 4304 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.language.iso | en | en |
| dc.publisher | Routledge | en |
| dc.subject.lcsh | Stock exchanges--Europe | en |
| dc.subject.lcsh | Extreme value theory | en |
| dc.title | Downside risk for European equity markets | en |
| dc.type | Journal Article | en |
| dc.internal.authorurl | John Cotter (web page) | en |
| dc.internal.authorurl | http://www.ucd.ie/research/people/business/drjohncotter/ | en |
| dc.internal.authorid | UCD0043 | en |
| dc.internal.availability | Full text not available | en |
| dc.internal.webversions | Publisher's version | en |
| dc.internal.webversions | http://dx.doi.org/10.1080/0960310042000243547 | en |
| dc.status | Peer reviewed | en |
| dc.identifier.volume | 14 | en |
| dc.identifier.issue | 10 | en |
| dc.identifier.startpage | 707 | en |
| dc.identifier.endpage | 716 | en |
| dc.identifier.doi | 10.1080/0960310042000243547 | |
| dc.neeo.contributor | Cotter|John|aut|UCD0043 | en |
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