Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes

Bertrand Maillet and Jean-Philippe R. M�decin ()
Additional contact information
Jean-Philippe R. M�decin: Paris School of Economics, University of Paris-1 and Variances

No 2010_10, Working Papers from Department of Economics, University of Venice "Ca' Foscari"

Abstract: Following Bali and Weinbaum (2005) and Maillet et al. (2010), we present several estimates of volatilities computed with high- and low frequency data and complement their results using additional measures of risk and several alternative methods for Tail-index estimation. The aim here is to confirm previous results regarding the slope of the tail of various risk measure distributions, in order to define the high watermarks of market risks. We also produce synthetic general results concerning the method of estimation of the Tail-indexes related to expressions of the L-moments. Based on estimates of Tail-indexes, retrieved from the high frequency 30� sampled CAC40 French stock Index series from the period 1997-2009, using Non-parametric Generalized Hill, Maximum Likelihood and various kinds of L-moment Methods for the estimation of both a Generalized Extreme Value density and a Generalized Pareto Distribution, we confirm that a heavy-tail density specification of the Log-volatility is not necessary.

Keywords: Financial Crisis; Realized Volatility; Range-based Volatility; Extreme Value Distributions; Tail-index; L-moments; High Frequency Data. (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Pages: 108
Date: 2010
New Economics Papers: this item is included in nep-ban, nep-bec, nep-ecm, nep-ets, nep-mst and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.unive.it/web/fileadmin/user_upload/dip ... et_medecin_10_10.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ven:wpaper:2010_10

Access Statistics for this paper

More papers in Working Papers from Department of Economics, University of Venice "Ca' Foscari" Contact information at EDIRC.
Bibliographic data for series maintained by Sassano Sonia ().