Alokley, Sara Ali; Albarrak, Mansour Saleh - In: Journal of Risk and Financial Management 13 (2020) 7, pp. 1-11
This paper investigates the clustering or dependency of extremes in financial returns by estimating the extremal index … value, in which smaller values of the extremal index correspond to more clustering. We apply the interval estimator method … results show that clustering occurs in the emerging and developed markets under several threshold values. This study will shed …