EconPapers    
Economics at your fingertips  
 

Disentangling crashes from tail events

Sofiane Aboura ()

Working Papers 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, what differentiates a crash from a tail event? This article answers this question by taking a risk management perspective that is based on an augmented extreme value theory methodology with an application to the French stock market (1968-2008). In contrast with the common sense, it claims that crashes happen when the volatility is the lowest. Our empirical results indicate that the French stock market experienced only two crashes in 2007-2008 among the 12 identified over the whole period.

Keywords: Extreme Value Theory; Risk Management; Volatility (search for similar items in EconPapers)
Date: 2010-01-01
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00638072
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://halshs.archives-ouvertes.fr/halshs-00638072/document (application/pdf)

Related works:
Journal Article: Disentangling Crashes from Tail Events (2015) Downloads
Working Paper: Disentangling Crashes from Tail Events (2015)
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:wpaper:halshs-00638072

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2021-12-07
Handle: RePEc:hal:wpaper:halshs-00638072