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Disentangling crashes from tail events

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Date
2010
Dewey
Economie financière
Sujet
Extreme Value Theory; Volatility; Risk Management; Crash; Contagion effect; Systemic risk
JEL code
C.C4.C40; G.G1.G13; G.G3.G32
Journal issue
International journal of finance and economics
Volume
-
Number
-
Publication date
02-2015
Article pages
-
Publisher
J. Wiley
DOI
http://dx.doi.org/10.1002/ijfe.1510
Conference name
AFFI 2010
Conference date
05-2010
Conference city
Saint-Malo
Conference country
France
Forthcoming
oui
URI
https://basepub.dauphine.fr/handle/123456789/5071
Collections
  • DRM : Publications
Metadata
Show full item record
Author
Aboura, Sofiane
1032 Dauphine Recherches en Management [DRM]
Type
Communication / Conférence
Item number of pages
35
Abstract (EN)
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.

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