Tail relation between return and volume in the US stock market: an analysis based on extreme value theory

DOI10.1016/J.ECONLET.2016.06.026MaRDI QIDQ1670217zbMATH OpenOpenAlexFDO

Authors Giovanni Pagliardi, Francois Longin

Publication date 5 September 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2016.06.026

zbMATH Keywords

extreme correlationextreme value theorypeaks-over-threshold methodreturn-volume dependencestock market volatility

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Jump tails, extreme dependencies, and the distribution of stock returns
• Estimates of the likelihood of extreme returns in international stock markets
• Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation
• scientific article; zbMATH DE number 2042812
• Correlation structure of extreme stock returns

Cites work

• Bivariate extreme value theory: Models and estimation
• Continuous Auctions and Insider Trading
• Minimal returns and the breakdown of the price-volume relation
• Statistics for near independence in multivariate extreme values

Cited in

(7)

• Minimal returns and the breakdown of the price-volume relation
• An extreme value analysis of the last century crises across industries in the U.S. economy
• An application of extreme value theory to cryptocurrencies
• Quantile transfer entropy: measuring the heterogeneous information transfer of nonlinear time series
• Correlation structure of extreme stock returns
• Estimates of the likelihood of extreme returns in international stock markets
• Mixed effects models for extreme value index regression

This page was built for publication: Tail relation between return and volume in the US stock market: an analysis based on extreme value theory

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1670217)