Extreme movements of the main stocks traded in the Eurozone: An analysis by sectors in the 2000's decade

Applied Financial Economics

Volumn 22, Issue 24, 2012, Pages 2085-2100

  Iglesias, Emma M ^a   Lagoa Varela, María Dolores ^a  

^a Department of Economics   (Spain)

Author keywords

2000's decade; Eurozone; extreme value theory; GARCH type models; value at risk; heavy tails; Pareto tail thickness parameter; stock indexes

Indexed keywords

CORRELATION; INDUSTRIAL INVESTMENT; RISK ASSESSMENT; SERVICE SECTOR; STOCK MARKET; TRADE;

EUROPE;

EID: 84863835450     PISSN: 09603107     EISSN: 14664305     Source Type: Journal    
DOI: 10.1080/09603107.2012.697121     Document Type: Article

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