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hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorAboura, Sofiane*
dc.date.accessioned2010-11-15T15:29:28Z
dc.date.available2010-11-15T15:29:28Z
dc.date.issued2010
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/5071
dc.language.isoenen
dc.subjectExtreme Value Theoryen
dc.subjectVolatilityen
dc.subjectRisk Managementen
dc.subjectCrash
dc.subjectContagion effect
dc.subjectSystemic risk
dc.subject.ddc332en
dc.subject.classificationjelC.C4.C40en
dc.subject.classificationjelG.G1.G13en
dc.subject.classificationjelG.G3.G32en
dc.titleDisentangling crashes from tail eventsen
dc.typeCommunication / Conférence
dc.description.abstractenThe 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.en
dc.identifier.citationpages35en
dc.relation.isversionofjnlnameInternational journal of finance and economics
dc.relation.isversionofjnlvol-
dc.relation.isversionofjnlissue-
dc.relation.isversionofjnldate2015-02
dc.relation.isversionofjnlpages-
dc.relation.isversionofdoi10.1002/ijfe.1510
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherJ. Wiley
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitleAFFI 2010en
dc.relation.confdate2010-05
dc.relation.confcitySaint-Maloen
dc.relation.confcountryFranceen
dc.relation.forthcomingoui
dc.description.halcandidateoui
dc.description.readershipRecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewednon
hal.faultCode{"duplicate-entry":{"halshs-01348725":{"doi":"1.0"}}}
hal.author.functionaut


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