Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory
Result description
This paper examines the potential for concurrence of crises and asset price misalignments from equilibrium in the foreign exchange, stock, and government bond markets of three Central European countries and the Euro Area. Concurrence is understood as thejoint occurrence of extreme asset changes and is assessed with a measure of asymptotic tail dependence in the distributions studied. The results reveal a significant potential for the co-alignment of crises in the examined markets. Evidence for co-movements in misalignments from equilibrium is found among all examined stock and exchange rate markets; although it is not apparent in some government bond markets.
Keywords
CointegrationConcurrence of extreme valuesExtreme Value TheoryFinancial market
The result's identifiers
Result code in IS VaVaI
Alternative codes found
RIV/00216208:11230/16:10319717
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory
Original language description
This paper examines the potential for concurrence of crises and asset price misalignments from equilibrium in the foreign exchange, stock, and government bond markets of three Central European countries and the Euro Area. Concurrence is understood as thejoint occurrence of extreme asset changes and is assessed with a measure of asymptotic tail dependence in the distributions studied. The results reveal a significant potential for the co-alignment of crises in the examined markets. Evidence for co-movements in misalignments from equilibrium is found among all examined stock and exchange rate markets; although it is not apparent in some government bond markets.
Czech name
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Czech description
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Classification
Type
Jx - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
GA13-06229S: The international transmission of shocks in the context of macro-financial linkages
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Emerging Markets Finance and Trade
ISSN
1540-496X
e-ISSN
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Volume of the periodical
51
Issue of the periodical within the volume
2015
Country of publishing house
US - UNITED STATES
Number of pages
15
Pages from-to
1-15
UT code for WoS article
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EID of the result in the Scopus database
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Basic information
Result type
Jx - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP
AH - Economics
Year of implementation
2015