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Co-dependence of Extreme Events in High Frequency FX Returns
Company: Journal of International Money and Finance
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: February
Resource Link: Click here to open
Pages: 37
Download Count: 0
View Count: 1175
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 2-23-2014
Publisher: Administrator
Summary
In this paper, we investigate extreme events in high frequency, multivariate FX returns within a purposely built framework. We generalize univariate tests and concepts to multidimensional settings and employ these novel techniques for parametric and nonparametric analysis. In particular, we investigate and quantify the co-dependence of cross-sectional and intertemporal extreme events. We find evidence of the cubic law of extreme returns, their increasing and asymmetric dependence and of the scaling property of extreme risk in joint symmetric tails.
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Author(s)
Polanski, Arnold Sign in to follow this author
Stoja, Evarist Sign in to follow this author
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