Co-dependence of Extreme Events in High Frequency FX Returns

Polanski, Arnold and Stoja, Evarist (2014) Co-dependence of Extreme Events in High Frequency FX Returns. Journal of International Money and Finance, 44. pp. 164-178.

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Abstract

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.

Item Type: Article
Additional Information: Open Access License: http://creativecommons.org/licenses/by/3.0/
Uncontrolled Keywords: high frequency returns,multidimensional risk,dependence in risk,multidimensional value at risk
Faculty \ School: Faculty of Social Sciences > School of Economics
Depositing User: Pure Connector
Date Deposited: 13 Feb 2014 14:22
Last Modified: 06 Nov 2018 15:41
URI: https://ueaeprints.uea.ac.uk/id/eprint/47505
DOI: 10.1016/j.jimonfin.2014.02.001

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