𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The spirit of capitalism, stock market bubbles and output fluctuations

✍ Scribed by Takashi Kamihigashi


Book ID
114826576
Publisher
John Wiley and Sons
Year
2008
Tongue
English
Weight
283 KB
Volume
4
Category
Article
ISSN
1742-7355

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πŸ“œ SIMILAR VOLUMES


Extreme US stock market fluctuations in
✍ S. T. M. Straetmans; W. F. C. Verschoor; C. C. P. Wolff πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 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 β€˜downside risk’ and β€˜upward potential’ have incre