I consider extreme returns for the stock and bond markets of 14 EU countries using two classification schemes: One, the univariate classification scheme from the previous literature that classifies extreme returns for each market separately, and two, a novel multivariate classification scheme that classifies extreme returns for several markets jointly. The new classification scheme holds about the same information as the old one, while demanding a shorter sample period. The new classification scheme is useful.
International Review of Financial Analysis, 2014, Vol 34, p. 1-4
European stock markets; European bond markets; Extreme returns; Financial crisis; Integration of financial markets