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Disentangling Crashes from Tail Events

Sofiane Aboura ()

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Abstract: 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)
Date: 2015-02-12
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-01348725
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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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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-01348725

DOI: 10.1002/ijfe.1510

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