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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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