We briefly introduce some basic facts about multivariate extreme value theory and present some new results regarding finite aggregates and multivariate extreme value distributions. Based on our results high frequency data can considerably improve quality of estimates of extreme movements in...

We introduce two quot;eventquot; scales for financial markets, called quot;scale of market shocksquot; (SMS), which measure the importance of the market movements. These indices are based on the price volatility and are computed by integrating mapped asset volatilities over time horizons that...

This paper studies the statistical properties of the price, volatility and tick dynamics of the intraday Eurofutures markets by utilizing the transactions and quote data. We build two different types of price series, by position and by contract. The findings indicate numerous sources of intraday...

This paper studies the statistical properties of the price and volatility dynamics of the intraday Eurofutures markets by utilizing the transactions and quote data. We build two different types of price series, by position and by contract. The findings indicate numerous sources of intraday and...

We investigate the multivariate intraday structure in interest rates, focusing on implied forward rates from Eurofutures contracts. Since futures markets are the most liquid for interest rate instruments and they yield high-quality intraday data, it is somehow surprising that their intraday...

We study the dynamics of the one-year change in P&C insurance reserves estimation by analyzing the process that leads to the ultimate risk in the case of “fixed-sum” insurance contracts. The random variable ultimately is supposed to follow a binomial distribution. We compute explicitly...