Disentangling Crashes from Tail Events - HAL-SHS - Sciences de l'Homme et de la Société Accéder directement au contenu
Article Dans Une Revue International Journal of Finance and Economics Année : 2015

Disentangling Crashes from Tail Events

Résumé

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.

Dates et versions

halshs-01348725 , version 1 (25-07-2016)

Identifiants

Citer

Sofiane Aboura. Disentangling Crashes from Tail Events. International Journal of Finance and Economics, 2015, 20, pp.206-219. ⟨10.1002/ijfe.1510⟩. ⟨halshs-01348725⟩
35 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Mastodon Facebook X LinkedIn More