Disentangling Crashes from Tail Events
Sofiane Aboura ()
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The study of tail events has become a central preoccupation for academics, investors and policy makers, given the recent financial turmoil. However, the question on what differentiates a crash from a tail event remains unsolved. This article elaborates a new definition of stock market crash taking a risk management perspective based on an augmented extreme value theory methodology. An empirical test on the French stock market (1968–2008) indicates that it experienced only two crashes in 2007–2008 among the 12 identified over the whole period.
Keywords: Risk Management.; Extreme Value Theory; Volatility (search for similar items in EconPapers)
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Published in International Journal of Finance and Economics, Wiley, 2015, 20, pp.206-219. ⟨10.1002/ijfe.1510⟩
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Journal Article: Disentangling Crashes from Tail Events (2015)
Working Paper: Disentangling crashes from tail events (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-01348725
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