Co-dependence of Extreme Events in High Frequency FX Returns

Arnold Polanski, Evarist Stoja

Research output: Contribution to journalArticlepeer-review

3 Citations (Scopus)

Abstract

In this paper, we investigate extreme events in high frequency, multivariate FX returns within a purposely built framework. We generalize univariate tests and concepts to multidimensional settings and employ these novel techniques for parametric and nonparametric analysis. In particular, we investigate and quantify the co-dependence of cross-sectional and intertemporal extreme events. We find evidence of the cubic law of extreme returns, their increasing and asymmetric dependence and of the scaling property of extreme risk in joint symmetric tails.
Original languageEnglish
Pages (from-to)164-178
JournalJournal of International Money and Finance
Volume44
DOIs
Publication statusPublished - Mar 2014

Keywords

  • High Frequency Returns
  • Multidimensional Risk
  • Dependence in Risk
  • Multidimensional Value at Risk

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