Scandinavian Working Papers in Economics

Umeå Economic Studies,
Umeå University, Department of Economics

No 597: Extreme-Value Characteristics in Daily Time Series of Swedish Stock Returns

Kurt Brännäs (), Shahiduzzaman Quoreshi () and Ola Simonsen ()
Additional contact information
Kurt Brännäs: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden
Shahiduzzaman Quoreshi: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden
Ola Simonsen: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden

Abstract: The paper studies Swedish stock series using extreme-value theoretical approaches. In a univariate setting support is found for the Fréchet family of distributions for minima and maxima. Pairs of return series are found to be asymptotically independent throughout. The results render support for joint modelling based on flexible moment specifications or, e.g., copulas.

Keywords: Value-at-Risk; minimum/maximum return; crossing

JEL-codes: C14; C22; C32; G11; G12

20 pages, December 3, 2002

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