𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Nonextensive statistical features of the Polish stock market fluctuations

✍ Scribed by R. Rak; S. Drożdż; J. Kwapień

Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
561 KB
Volume
374
Category
Article
ISSN
0378-4371

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Extreme US stock market fluctuations in
Extreme US stock market fluctuations in the wake of 9/11
✍ S. T. M. Straetmans; W. F. C. Verschoor; C. C. P. Wolff 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 240 KB

## Abstract We apply extreme value analysis to US sectoral stock indices in order to assess whether tail risk measures like value‐at‐risk and extremal linkages were significantly altered by 9/11. We test whether semi‐parametric quantile estimates of ‘downside risk’ and ‘upward potential’ have incre