Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory
This article examines the potential for concurrence of crises and asset price misalignments from equilibrium in the foreign exchange, stock, and government bond markets of three Central European countries and the euro area. Concurrence is understood as the joint occurrence of extreme asset changes a...
Ausführliche Beschreibung
Autor*in: |
Kadlcakova, Narcisa [verfasserIn] |
---|
Format: |
Artikel |
---|---|
Sprache: |
Englisch |
Erschienen: |
2016 |
---|
Rechteinformationen: |
Nutzungsrecht: Copyright © Taylor & Francis Group, LLC |
---|
Schlagwörter: |
---|
Übergeordnetes Werk: |
Enthalten in: Emerging markets finance & trade - Philadelphia, Pa. : Routledge Taylor & Francis Group, 2002, 52(2016), 11, Seite 2595-2609 |
---|---|
Übergeordnetes Werk: |
volume:52 ; year:2016 ; number:11 ; pages:2595-2609 |
Links: |
---|
DOI / URN: |
10.1080/1540496X.2015.1087792 |
---|
Katalog-ID: |
OLC1984330829 |
---|
LEADER | 01000caa a2200265 4500 | ||
---|---|---|---|
001 | OLC1984330829 | ||
003 | DE-627 | ||
005 | 20220215181337.0 | ||
007 | tu | ||
008 | 161202s2016 xx ||||| 00| ||eng c | ||
024 | 7 | |a 10.1080/1540496X.2015.1087792 |2 doi | |
028 | 5 | 2 | |a PQ20161201 |
035 | |a (DE-627)OLC1984330829 | ||
035 | |a (DE-599)GBVOLC1984330829 | ||
035 | |a (PRQ)c1267-b6870c8f656c158da2e7a2284100b4db7a3b046b9683ba52d0e42bbc834698d80 | ||
035 | |a (KEY)0029932420160000052001102595identificationofassetpricemisalignmentsonfinancial | ||
040 | |a DE-627 |b ger |c DE-627 |e rakwb | ||
041 | |a eng | ||
082 | 0 | 4 | |a 330 |a 380 |q DNB |
084 | |a 83.00 |2 bkl | ||
100 | 1 | |a Kadlcakova, Narcisa |e verfasserin |4 aut | |
245 | 1 | 0 | |a Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory |
264 | 1 | |c 2016 | |
336 | |a Text |b txt |2 rdacontent | ||
337 | |a ohne Hilfsmittel zu benutzen |b n |2 rdamedia | ||
338 | |a Band |b nc |2 rdacarrier | ||
520 | |a This article examines the potential for concurrence of crises and asset price misalignments from equilibrium in the foreign exchange, stock, and government bond markets of three Central European countries and the euro area. Concurrence is understood as the joint occurrence of extreme asset changes and is assessed with a measure of asymptotic tail dependence in the distributions studied. The results reveal a significant potential for the co-alignment of crises in the examined markets. Evidence for co-movements in misalignments from equilibrium is found among all examined stock and exchange rate markets; although it is not apparent in some government bond markets. | ||
540 | |a Nutzungsrecht: Copyright © Taylor & Francis Group, LLC | ||
650 | 4 | |a extreme value theory | |
650 | 4 | |a concurrence of extreme values | |
650 | 4 | |a financial market | |
650 | 4 | |a cointegration | |
700 | 1 | |a Komarek, Lubos |4 oth | |
700 | 1 | |a Komarkova, Zlatuse |4 oth | |
700 | 1 | |a Hlavacek, Michal |4 oth | |
773 | 0 | 8 | |i Enthalten in |t Emerging markets finance & trade |d Philadelphia, Pa. : Routledge Taylor & Francis Group, 2002 |g 52(2016), 11, Seite 2595-2609 |w (DE-627)354272845 |w (DE-600)2089472-7 |w (DE-576)102124094 |x 1540-496X |7 nnns |
773 | 1 | 8 | |g volume:52 |g year:2016 |g number:11 |g pages:2595-2609 |
856 | 4 | 1 | |u http://dx.doi.org/10.1080/1540496X.2015.1087792 |3 Volltext |
856 | 4 | 2 | |u http://www.tandfonline.com/doi/abs/10.1080/1540496X.2015.1087792 |
912 | |a GBV_USEFLAG_A | ||
912 | |a SYSFLAG_A | ||
912 | |a GBV_OLC | ||
912 | |a SSG-OLC-WIW | ||
912 | |a SSG-OLC-OEU | ||
912 | |a GBV_ILN_21 | ||
912 | |a GBV_ILN_26 | ||
936 | b | k | |a 83.00 |q AVZ |
951 | |a AR | ||
952 | |d 52 |j 2016 |e 11 |h 2595-2609 |
author_variant |
n k nk |
---|---|
matchkey_str |
article:1540496X:2016----::dniiainfsepieiainetofnnilakt |
hierarchy_sort_str |
2016 |
bklnumber |
83.00 |
publishDate |
2016 |
allfields |
10.1080/1540496X.2015.1087792 doi PQ20161201 (DE-627)OLC1984330829 (DE-599)GBVOLC1984330829 (PRQ)c1267-b6870c8f656c158da2e7a2284100b4db7a3b046b9683ba52d0e42bbc834698d80 (KEY)0029932420160000052001102595identificationofassetpricemisalignmentsonfinancial DE-627 ger DE-627 rakwb eng 330 380 DNB 83.00 bkl Kadlcakova, Narcisa verfasserin aut Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory 2016 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier This article examines the potential for concurrence of crises and asset price misalignments from equilibrium in the foreign exchange, stock, and government bond markets of three Central European countries and the euro area. Concurrence is understood as the joint occurrence of extreme asset changes and is assessed with a measure of asymptotic tail dependence in the distributions studied. The results reveal a significant potential for the co-alignment of crises in the examined markets. Evidence for co-movements in misalignments from equilibrium is found among all examined stock and exchange rate markets; although it is not apparent in some government bond markets. Nutzungsrecht: Copyright © Taylor & Francis Group, LLC extreme value theory concurrence of extreme values financial market cointegration Komarek, Lubos oth Komarkova, Zlatuse oth Hlavacek, Michal oth Enthalten in Emerging markets finance & trade Philadelphia, Pa. : Routledge Taylor & Francis Group, 2002 52(2016), 11, Seite 2595-2609 (DE-627)354272845 (DE-600)2089472-7 (DE-576)102124094 1540-496X nnns volume:52 year:2016 number:11 pages:2595-2609 http://dx.doi.org/10.1080/1540496X.2015.1087792 Volltext http://www.tandfonline.com/doi/abs/10.1080/1540496X.2015.1087792 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW SSG-OLC-OEU GBV_ILN_21 GBV_ILN_26 83.00 AVZ AR 52 2016 11 2595-2609 |
spelling |
10.1080/1540496X.2015.1087792 doi PQ20161201 (DE-627)OLC1984330829 (DE-599)GBVOLC1984330829 (PRQ)c1267-b6870c8f656c158da2e7a2284100b4db7a3b046b9683ba52d0e42bbc834698d80 (KEY)0029932420160000052001102595identificationofassetpricemisalignmentsonfinancial DE-627 ger DE-627 rakwb eng 330 380 DNB 83.00 bkl Kadlcakova, Narcisa verfasserin aut Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory 2016 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier This article examines the potential for concurrence of crises and asset price misalignments from equilibrium in the foreign exchange, stock, and government bond markets of three Central European countries and the euro area. Concurrence is understood as the joint occurrence of extreme asset changes and is assessed with a measure of asymptotic tail dependence in the distributions studied. The results reveal a significant potential for the co-alignment of crises in the examined markets. Evidence for co-movements in misalignments from equilibrium is found among all examined stock and exchange rate markets; although it is not apparent in some government bond markets. Nutzungsrecht: Copyright © Taylor & Francis Group, LLC extreme value theory concurrence of extreme values financial market cointegration Komarek, Lubos oth Komarkova, Zlatuse oth Hlavacek, Michal oth Enthalten in Emerging markets finance & trade Philadelphia, Pa. : Routledge Taylor & Francis Group, 2002 52(2016), 11, Seite 2595-2609 (DE-627)354272845 (DE-600)2089472-7 (DE-576)102124094 1540-496X nnns volume:52 year:2016 number:11 pages:2595-2609 http://dx.doi.org/10.1080/1540496X.2015.1087792 Volltext http://www.tandfonline.com/doi/abs/10.1080/1540496X.2015.1087792 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW SSG-OLC-OEU GBV_ILN_21 GBV_ILN_26 83.00 AVZ AR 52 2016 11 2595-2609 |
allfields_unstemmed |
10.1080/1540496X.2015.1087792 doi PQ20161201 (DE-627)OLC1984330829 (DE-599)GBVOLC1984330829 (PRQ)c1267-b6870c8f656c158da2e7a2284100b4db7a3b046b9683ba52d0e42bbc834698d80 (KEY)0029932420160000052001102595identificationofassetpricemisalignmentsonfinancial DE-627 ger DE-627 rakwb eng 330 380 DNB 83.00 bkl Kadlcakova, Narcisa verfasserin aut Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory 2016 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier This article examines the potential for concurrence of crises and asset price misalignments from equilibrium in the foreign exchange, stock, and government bond markets of three Central European countries and the euro area. Concurrence is understood as the joint occurrence of extreme asset changes and is assessed with a measure of asymptotic tail dependence in the distributions studied. The results reveal a significant potential for the co-alignment of crises in the examined markets. Evidence for co-movements in misalignments from equilibrium is found among all examined stock and exchange rate markets; although it is not apparent in some government bond markets. Nutzungsrecht: Copyright © Taylor & Francis Group, LLC extreme value theory concurrence of extreme values financial market cointegration Komarek, Lubos oth Komarkova, Zlatuse oth Hlavacek, Michal oth Enthalten in Emerging markets finance & trade Philadelphia, Pa. : Routledge Taylor & Francis Group, 2002 52(2016), 11, Seite 2595-2609 (DE-627)354272845 (DE-600)2089472-7 (DE-576)102124094 1540-496X nnns volume:52 year:2016 number:11 pages:2595-2609 http://dx.doi.org/10.1080/1540496X.2015.1087792 Volltext http://www.tandfonline.com/doi/abs/10.1080/1540496X.2015.1087792 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW SSG-OLC-OEU GBV_ILN_21 GBV_ILN_26 83.00 AVZ AR 52 2016 11 2595-2609 |
allfieldsGer |
10.1080/1540496X.2015.1087792 doi PQ20161201 (DE-627)OLC1984330829 (DE-599)GBVOLC1984330829 (PRQ)c1267-b6870c8f656c158da2e7a2284100b4db7a3b046b9683ba52d0e42bbc834698d80 (KEY)0029932420160000052001102595identificationofassetpricemisalignmentsonfinancial DE-627 ger DE-627 rakwb eng 330 380 DNB 83.00 bkl Kadlcakova, Narcisa verfasserin aut Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory 2016 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier This article examines the potential for concurrence of crises and asset price misalignments from equilibrium in the foreign exchange, stock, and government bond markets of three Central European countries and the euro area. Concurrence is understood as the joint occurrence of extreme asset changes and is assessed with a measure of asymptotic tail dependence in the distributions studied. The results reveal a significant potential for the co-alignment of crises in the examined markets. Evidence for co-movements in misalignments from equilibrium is found among all examined stock and exchange rate markets; although it is not apparent in some government bond markets. Nutzungsrecht: Copyright © Taylor & Francis Group, LLC extreme value theory concurrence of extreme values financial market cointegration Komarek, Lubos oth Komarkova, Zlatuse oth Hlavacek, Michal oth Enthalten in Emerging markets finance & trade Philadelphia, Pa. : Routledge Taylor & Francis Group, 2002 52(2016), 11, Seite 2595-2609 (DE-627)354272845 (DE-600)2089472-7 (DE-576)102124094 1540-496X nnns volume:52 year:2016 number:11 pages:2595-2609 http://dx.doi.org/10.1080/1540496X.2015.1087792 Volltext http://www.tandfonline.com/doi/abs/10.1080/1540496X.2015.1087792 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW SSG-OLC-OEU GBV_ILN_21 GBV_ILN_26 83.00 AVZ AR 52 2016 11 2595-2609 |
allfieldsSound |
10.1080/1540496X.2015.1087792 doi PQ20161201 (DE-627)OLC1984330829 (DE-599)GBVOLC1984330829 (PRQ)c1267-b6870c8f656c158da2e7a2284100b4db7a3b046b9683ba52d0e42bbc834698d80 (KEY)0029932420160000052001102595identificationofassetpricemisalignmentsonfinancial DE-627 ger DE-627 rakwb eng 330 380 DNB 83.00 bkl Kadlcakova, Narcisa verfasserin aut Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory 2016 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier This article examines the potential for concurrence of crises and asset price misalignments from equilibrium in the foreign exchange, stock, and government bond markets of three Central European countries and the euro area. Concurrence is understood as the joint occurrence of extreme asset changes and is assessed with a measure of asymptotic tail dependence in the distributions studied. The results reveal a significant potential for the co-alignment of crises in the examined markets. Evidence for co-movements in misalignments from equilibrium is found among all examined stock and exchange rate markets; although it is not apparent in some government bond markets. Nutzungsrecht: Copyright © Taylor & Francis Group, LLC extreme value theory concurrence of extreme values financial market cointegration Komarek, Lubos oth Komarkova, Zlatuse oth Hlavacek, Michal oth Enthalten in Emerging markets finance & trade Philadelphia, Pa. : Routledge Taylor & Francis Group, 2002 52(2016), 11, Seite 2595-2609 (DE-627)354272845 (DE-600)2089472-7 (DE-576)102124094 1540-496X nnns volume:52 year:2016 number:11 pages:2595-2609 http://dx.doi.org/10.1080/1540496X.2015.1087792 Volltext http://www.tandfonline.com/doi/abs/10.1080/1540496X.2015.1087792 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW SSG-OLC-OEU GBV_ILN_21 GBV_ILN_26 83.00 AVZ AR 52 2016 11 2595-2609 |
language |
English |
source |
Enthalten in Emerging markets finance & trade 52(2016), 11, Seite 2595-2609 volume:52 year:2016 number:11 pages:2595-2609 |
sourceStr |
Enthalten in Emerging markets finance & trade 52(2016), 11, Seite 2595-2609 volume:52 year:2016 number:11 pages:2595-2609 |
format_phy_str_mv |
Article |
institution |
findex.gbv.de |
topic_facet |
extreme value theory concurrence of extreme values financial market cointegration |
dewey-raw |
330 |
isfreeaccess_bool |
false |
container_title |
Emerging markets finance & trade |
authorswithroles_txt_mv |
Kadlcakova, Narcisa @@aut@@ Komarek, Lubos @@oth@@ Komarkova, Zlatuse @@oth@@ Hlavacek, Michal @@oth@@ |
publishDateDaySort_date |
2016-01-01T00:00:00Z |
hierarchy_top_id |
354272845 |
dewey-sort |
3330 |
id |
OLC1984330829 |
language_de |
englisch |
fullrecord |
<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000caa a2200265 4500</leader><controlfield tag="001">OLC1984330829</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20220215181337.0</controlfield><controlfield tag="007">tu</controlfield><controlfield tag="008">161202s2016 xx ||||| 00| ||eng c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1080/1540496X.2015.1087792</subfield><subfield code="2">doi</subfield></datafield><datafield tag="028" ind1="5" ind2="2"><subfield code="a">PQ20161201</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)OLC1984330829</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)GBVOLC1984330829</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(PRQ)c1267-b6870c8f656c158da2e7a2284100b4db7a3b046b9683ba52d0e42bbc834698d80</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(KEY)0029932420160000052001102595identificationofassetpricemisalignmentsonfinancial</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1=" " ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="082" ind1="0" ind2="4"><subfield code="a">330</subfield><subfield code="a">380</subfield><subfield code="q">DNB</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">83.00</subfield><subfield code="2">bkl</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Kadlcakova, Narcisa</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2016</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">Text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">ohne Hilfsmittel zu benutzen</subfield><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">Band</subfield><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">This article examines the potential for concurrence of crises and asset price misalignments from equilibrium in the foreign exchange, stock, and government bond markets of three Central European countries and the euro area. Concurrence is understood as the joint occurrence of extreme asset changes and is assessed with a measure of asymptotic tail dependence in the distributions studied. The results reveal a significant potential for the co-alignment of crises in the examined markets. Evidence for co-movements in misalignments from equilibrium is found among all examined stock and exchange rate markets; although it is not apparent in some government bond markets.</subfield></datafield><datafield tag="540" ind1=" " ind2=" "><subfield code="a">Nutzungsrecht: Copyright © Taylor & Francis Group, LLC</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">extreme value theory</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">concurrence of extreme values</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">financial market</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">cointegration</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Komarek, Lubos</subfield><subfield code="4">oth</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Komarkova, Zlatuse</subfield><subfield code="4">oth</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Hlavacek, Michal</subfield><subfield code="4">oth</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">Enthalten in</subfield><subfield code="t">Emerging markets finance & trade</subfield><subfield code="d">Philadelphia, Pa. : Routledge Taylor & Francis Group, 2002</subfield><subfield code="g">52(2016), 11, Seite 2595-2609</subfield><subfield code="w">(DE-627)354272845</subfield><subfield code="w">(DE-600)2089472-7</subfield><subfield code="w">(DE-576)102124094</subfield><subfield code="x">1540-496X</subfield><subfield code="7">nnns</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:52</subfield><subfield code="g">year:2016</subfield><subfield code="g">number:11</subfield><subfield code="g">pages:2595-2609</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">http://dx.doi.org/10.1080/1540496X.2015.1087792</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="u">http://www.tandfonline.com/doi/abs/10.1080/1540496X.2015.1087792</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_USEFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SYSFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_OLC</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OLC-WIW</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OLC-OEU</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_21</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_26</subfield></datafield><datafield tag="936" ind1="b" ind2="k"><subfield code="a">83.00</subfield><subfield code="q">AVZ</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="952" ind1=" " ind2=" "><subfield code="d">52</subfield><subfield code="j">2016</subfield><subfield code="e">11</subfield><subfield code="h">2595-2609</subfield></datafield></record></collection>
|
author |
Kadlcakova, Narcisa |
spellingShingle |
Kadlcakova, Narcisa ddc 330 bkl 83.00 misc extreme value theory misc concurrence of extreme values misc financial market misc cointegration Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory |
authorStr |
Kadlcakova, Narcisa |
ppnlink_with_tag_str_mv |
@@773@@(DE-627)354272845 |
format |
Article |
dewey-ones |
330 - Economics 380 - Commerce, communications & transportation |
delete_txt_mv |
keep |
author_role |
aut |
collection |
OLC |
remote_str |
false |
illustrated |
Not Illustrated |
issn |
1540-496X |
topic_title |
330 380 DNB 83.00 bkl Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory extreme value theory concurrence of extreme values financial market cointegration |
topic |
ddc 330 bkl 83.00 misc extreme value theory misc concurrence of extreme values misc financial market misc cointegration |
topic_unstemmed |
ddc 330 bkl 83.00 misc extreme value theory misc concurrence of extreme values misc financial market misc cointegration |
topic_browse |
ddc 330 bkl 83.00 misc extreme value theory misc concurrence of extreme values misc financial market misc cointegration |
format_facet |
Aufsätze Gedruckte Aufsätze |
format_main_str_mv |
Text Zeitschrift/Artikel |
carriertype_str_mv |
nc |
author2_variant |
l k lk z k zk m h mh |
hierarchy_parent_title |
Emerging markets finance & trade |
hierarchy_parent_id |
354272845 |
dewey-tens |
330 - Economics 380 - Commerce, communications & transportation |
hierarchy_top_title |
Emerging markets finance & trade |
isfreeaccess_txt |
false |
familylinks_str_mv |
(DE-627)354272845 (DE-600)2089472-7 (DE-576)102124094 |
title |
Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory |
ctrlnum |
(DE-627)OLC1984330829 (DE-599)GBVOLC1984330829 (PRQ)c1267-b6870c8f656c158da2e7a2284100b4db7a3b046b9683ba52d0e42bbc834698d80 (KEY)0029932420160000052001102595identificationofassetpricemisalignmentsonfinancial |
title_full |
Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory |
author_sort |
Kadlcakova, Narcisa |
journal |
Emerging markets finance & trade |
journalStr |
Emerging markets finance & trade |
lang_code |
eng |
isOA_bool |
false |
dewey-hundreds |
300 - Social sciences |
recordtype |
marc |
publishDateSort |
2016 |
contenttype_str_mv |
txt |
container_start_page |
2595 |
author_browse |
Kadlcakova, Narcisa |
container_volume |
52 |
class |
330 380 DNB 83.00 bkl |
format_se |
Aufsätze |
author-letter |
Kadlcakova, Narcisa |
doi_str_mv |
10.1080/1540496X.2015.1087792 |
dewey-full |
330 380 |
title_sort |
identification of asset price misalignments on financial markets with extreme value theory |
title_auth |
Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory |
abstract |
This article examines the potential for concurrence of crises and asset price misalignments from equilibrium in the foreign exchange, stock, and government bond markets of three Central European countries and the euro area. Concurrence is understood as the joint occurrence of extreme asset changes and is assessed with a measure of asymptotic tail dependence in the distributions studied. The results reveal a significant potential for the co-alignment of crises in the examined markets. Evidence for co-movements in misalignments from equilibrium is found among all examined stock and exchange rate markets; although it is not apparent in some government bond markets. |
abstractGer |
This article examines the potential for concurrence of crises and asset price misalignments from equilibrium in the foreign exchange, stock, and government bond markets of three Central European countries and the euro area. Concurrence is understood as the joint occurrence of extreme asset changes and is assessed with a measure of asymptotic tail dependence in the distributions studied. The results reveal a significant potential for the co-alignment of crises in the examined markets. Evidence for co-movements in misalignments from equilibrium is found among all examined stock and exchange rate markets; although it is not apparent in some government bond markets. |
abstract_unstemmed |
This article examines the potential for concurrence of crises and asset price misalignments from equilibrium in the foreign exchange, stock, and government bond markets of three Central European countries and the euro area. Concurrence is understood as the joint occurrence of extreme asset changes and is assessed with a measure of asymptotic tail dependence in the distributions studied. The results reveal a significant potential for the co-alignment of crises in the examined markets. Evidence for co-movements in misalignments from equilibrium is found among all examined stock and exchange rate markets; although it is not apparent in some government bond markets. |
collection_details |
GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW SSG-OLC-OEU GBV_ILN_21 GBV_ILN_26 |
container_issue |
11 |
title_short |
Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory |
url |
http://dx.doi.org/10.1080/1540496X.2015.1087792 http://www.tandfonline.com/doi/abs/10.1080/1540496X.2015.1087792 |
remote_bool |
false |
author2 |
Komarek, Lubos Komarkova, Zlatuse Hlavacek, Michal |
author2Str |
Komarek, Lubos Komarkova, Zlatuse Hlavacek, Michal |
ppnlink |
354272845 |
mediatype_str_mv |
n |
isOA_txt |
false |
hochschulschrift_bool |
false |
author2_role |
oth oth oth |
doi_str |
10.1080/1540496X.2015.1087792 |
up_date |
2024-07-04T00:02:09.580Z |
_version_ |
1803604542982455296 |
fullrecord_marcxml |
<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000caa a2200265 4500</leader><controlfield tag="001">OLC1984330829</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20220215181337.0</controlfield><controlfield tag="007">tu</controlfield><controlfield tag="008">161202s2016 xx ||||| 00| ||eng c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1080/1540496X.2015.1087792</subfield><subfield code="2">doi</subfield></datafield><datafield tag="028" ind1="5" ind2="2"><subfield code="a">PQ20161201</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)OLC1984330829</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)GBVOLC1984330829</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(PRQ)c1267-b6870c8f656c158da2e7a2284100b4db7a3b046b9683ba52d0e42bbc834698d80</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(KEY)0029932420160000052001102595identificationofassetpricemisalignmentsonfinancial</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1=" " ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="082" ind1="0" ind2="4"><subfield code="a">330</subfield><subfield code="a">380</subfield><subfield code="q">DNB</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">83.00</subfield><subfield code="2">bkl</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Kadlcakova, Narcisa</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2016</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">Text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">ohne Hilfsmittel zu benutzen</subfield><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">Band</subfield><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">This article examines the potential for concurrence of crises and asset price misalignments from equilibrium in the foreign exchange, stock, and government bond markets of three Central European countries and the euro area. Concurrence is understood as the joint occurrence of extreme asset changes and is assessed with a measure of asymptotic tail dependence in the distributions studied. The results reveal a significant potential for the co-alignment of crises in the examined markets. Evidence for co-movements in misalignments from equilibrium is found among all examined stock and exchange rate markets; although it is not apparent in some government bond markets.</subfield></datafield><datafield tag="540" ind1=" " ind2=" "><subfield code="a">Nutzungsrecht: Copyright © Taylor & Francis Group, LLC</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">extreme value theory</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">concurrence of extreme values</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">financial market</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">cointegration</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Komarek, Lubos</subfield><subfield code="4">oth</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Komarkova, Zlatuse</subfield><subfield code="4">oth</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Hlavacek, Michal</subfield><subfield code="4">oth</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">Enthalten in</subfield><subfield code="t">Emerging markets finance & trade</subfield><subfield code="d">Philadelphia, Pa. : Routledge Taylor & Francis Group, 2002</subfield><subfield code="g">52(2016), 11, Seite 2595-2609</subfield><subfield code="w">(DE-627)354272845</subfield><subfield code="w">(DE-600)2089472-7</subfield><subfield code="w">(DE-576)102124094</subfield><subfield code="x">1540-496X</subfield><subfield code="7">nnns</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:52</subfield><subfield code="g">year:2016</subfield><subfield code="g">number:11</subfield><subfield code="g">pages:2595-2609</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">http://dx.doi.org/10.1080/1540496X.2015.1087792</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="u">http://www.tandfonline.com/doi/abs/10.1080/1540496X.2015.1087792</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_USEFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SYSFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_OLC</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OLC-WIW</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OLC-OEU</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_21</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_26</subfield></datafield><datafield tag="936" ind1="b" ind2="k"><subfield code="a">83.00</subfield><subfield code="q">AVZ</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="952" ind1=" " ind2=" "><subfield code="d">52</subfield><subfield code="j">2016</subfield><subfield code="e">11</subfield><subfield code="h">2595-2609</subfield></datafield></record></collection>
|
score |
7.3994894 |