Stock Return Jumps and Tail Risk Assessment: The Case of European Non-Euro Banking Sectors
- Chikashi Tsuji
Abstract
This study investigates the linkages between stock return jumps, volatilities, and tail risks in European non-euro banking sectors over the period 2005−2020. As a result, our examinations derive the following significant findings. First, for European non-euro banking sectors, in extending EGARCH models, taking bidirectional stock return jumps into consideration is always effective. Second, for European non-euro banking sector stocks, in extending EGARCH models, incorporating skewed and fat-tailed or fat-tailed densities is also effectual. In addition, our additional analyses further find that when taking bidirectional return jumps into account, the volatility estimates from our extended EGARCH models more precisely capture the tail risks in European non-euro banking sector stocks. This signifies that if we ignore bidirectional stock return jumps, we will undervalue the levels of tail risks when stock prices of international banking sectors plunge.
- Full Text:
PDF
- DOI:10.5539/ibr.v15n5p53
Journal Metrics
h-index (January 2024): 102
i10-index (January 2024): 947
h5-index (January 2024): N/A
h5-median(January 2024): N/A
( The data was calculated based on Google Scholar Citations. Click Here to Learn More. )
Index
- Academic Journals Database
- ACNP
- ANVUR (Italian National Agency for the Evaluation of Universities and Research Institutes)
- CNKI Scholar
- COPAC
- CrossRef
- EBSCOhost
- EconBiz
- ECONIS
- EconPapers
- Elektronische Zeitschriftenbibliothek (EZB)
- EuroPub Database
- Excellence in Research for Australia (ERA)
- Genamics JournalSeek
- Google Scholar
- Harvard Library
- IBZ Online
- IDEAS
- Infotrieve
- Kobson
- LOCKSS
- Mendeley
- MIAR
- Norwegian Centre for Research Data (NSD)
- PKP Open Archives Harvester
- Publons
- Qualis/CAPES
- RePEc
- ResearchGate
- ROAD
- Scilit
- SHERPA/RoMEO
- SocioRePEc
- Technische Informationsbibliothek (TIB)
- The Keepers Registry
- UCR Library
- Universe Digital Library
- ZBW-German National Library of Economics
- Zeitschriften Daten Bank (ZDB)
Contact
- Kevin DuranEditorial Assistant
- ibr@ccsenet.org