Journal Article


John Cotter



g10 financial crises stock exchanges asian equity markets extreme value theory financial markets extreme returns

Modelling extreme financial returns of global equity markets (2004)

Abstract Extreme asset price movements appear to be more pronounced recently and havemajor consequences for an economy’s financial stability and monetary policies.This paper investigates the extreme behaviour of equity market returns andquantifies the probabilities of these losses. Taking fourteen major equity marketsthe study is able to ascertain similarities and divergences in the tail returns fromaround the world. To do so, it applies extreme value theory to equity indicesrepresenting American, Asian and European markets. The paper finds that allmarkets tail realisations are adequately modelled with the fat-tailed Fréchetdistribution. Furthermore tail realisations associated with the downside of adistribution are greater than those associated with the upside, and extreme returnsfor Asian markets are usually larger than their European and Americancounterparts.
Collections Ireland -> University College Dublin -> Business Research Collection
Ireland -> University College Dublin -> School of Business
Ireland -> University College Dublin -> College of Business

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John Cotter

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John Cotter
University College Dublin
Total Publications: 93