𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Valuable lessons in the wake of 9-11

✍ Scribed by Arlene Harris

Book ID
117850388
Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
204 KB
Volume
13
Category
Article
ISSN
1532-6527

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## 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