Disentangling Crashes from Tail Events
Sofiane Aboura
Post-Print from HAL
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: Volatility; Extreme Value Theory; Risk Management. (search for similar items in EconPapers)
Date: 2015-02-12
References: Add references at CitEc
Citations: View citations in EconPapers (2)
Published in International Journal of Finance and Economics, 2015, 20, pp.206-219. ⟨10.1002/ijfe.1510⟩
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Related works:
Journal Article: Disentangling Crashes from Tail Events (2015)
Working Paper: Disentangling crashes from tail events (2010)
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:hal:journl:halshs-01348725
DOI: 10.1002/ijfe.1510
Access Statistics for this paper
More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD (hal@ccsd.cnrs.fr).