Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F26138077%3A_____%2F15%3A%230000697" target="_blank" >RIV/26138077:_____/15:#0000697 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/16:10319717
Result on the web
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DOI - Digital Object Identifier
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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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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Project
<a href="/en/project/GA13-06229S" target="_blank" >GA13-06229S: The international transmission of shocks in the context of macro-financial linkages</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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