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Coexceedances in Financial Markets - A Quantile Regression Analysis of Contagion
Year Of Publication: 2003
Month Of Publication: September
Pages: 23
Download Count: 175
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 12-7-2008
Publisher: Administrator
Summary
This paper analyzes simultaneous exceedances (coexceedances) of several stock indexreturns for different thresholds with a focus on the Asian crisis in 1997. We introducea new concept of computing and estimating time-varying coexceedances and usethe quantile regression model to analyze contagion. We find contagion (i.e. more andlarger coexceedances) during the Asian crisis among countries and also across regions.The results are based on a comparison of coexceedances of the full period to a benchmarkperiod conditional on certain regimes of extreme market movements. An analysisof the evolution of coexceedances also reveals the time-varying character of contagion.Conditional density estimates additionally point to the existence of multiple equilibriain crisis periods.
Author(s)
Baur, Dirk Sign in to follow this author
Schulze, Niels Sign in to follow this author
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