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- W3148234617 abstract "Extreme price movements associated with tail returns are catastrophic for all investors and it is necessary to make accurate predictions of the severity of these events. Choosing a time frame associated with large financial booms and crises this paper investigates the tail behaviour of Asian equity market returns and quantifies two risk measures, quantiles and average losses, along with their associated average waiting periods. Extreme value theory using the Peaks over Threshold method generates the risk measures where tail returns are modelled with a fat-tailed Generalised Pareto Distribution. We find that lower tail risk measures are more severe than upper tail realisations at the lowest probability levels. Moreover, the Kuala Lumpar Composite exhibits the largest risk measures." @default.
- W3148234617 created "2021-04-13" @default.
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- W3148234617 date "2007-01-01" @default.
- W3148234617 modified "2023-09-26" @default.
- W3148234617 title "Extreme risk in Asian equity markets" @default.
- W3148234617 hasPublicationYear "2007" @default.
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