Extreme Returns in the European financial crisis
研究了2004至2013年间欧元区外围国家、核心国家及非欧元欧盟国家之间极端股票收益的传导效应，发现危机期间外围国家向其他国家的冲击更大，损失更严重。
Abstract We examine the transmission of financial shocks among the euro‐periphery (Portugal, Ireland, Italy, Greece, Spain), the euro‐core (Germany, France, the Netherlands, Finland, Belgium), and the major European Union (but not euro) countries (Sweden, the United Kingdom, Poland, the Czech Republic, Denmark). Using extreme returns on daily stock market data from 2004 until 2013, we find transmission effects for the tails of the returns distributions for the pre‐crisis, US crisis and euro crisis periods from the euro‐periphery to the non‐euro and euro‐core groups. During the crises, the shocks transmitted were more substantial, indicating significantly higher losses on extreme return days.