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Publication - Dr Evarist Stoja

    Co-Dependence of Extreme Events in High Frequency FX Returns

    Citation

    Stoja, E & Polanski, A, 2014, ‘Co-Dependence of Extreme Events in High Frequency FX Returns’. Journal of International Money and Finance, vol 44., pp. 164-178

    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.

    Full details in the University publications repository