Add to ORKGWe 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 increased after 9/11. The same methodology allows one to estimate probabilities of joint booms and busts for pairs of sectoral indices or for a sectoral index and a market portfolio. The latter probabilities measure the sectoral response to macro shocks during periods of financial stress (so-called ‘tail-ˇs’). Taking 9/11 as the sample midpoint we find that tail-ˇs often increase in a statistically and economically significant way. This might be due to perceived...
Did the terrorist attacks of September 11, 2001 change the volatility dynamics of stock markets? Usi...
The problem of particular importance in financial risk management is forecasting the magnitude of a ...
We propose a methodology based on multivariate extreme value theory, to analyze the dependence betwe...
We apply extreme value analysis to us sectoral stock indices in order to assess whether tail risk me...
Extreme value theory has been widely applied in insurance and finance to model rare events. Plenty o...
Contains fulltext : 68638.pdf (publisher's version ) (Closed access)26 p
The problem of particular importance in financial risk management is forecasting the magnitude of a ...
The two large scale crises that hit the world economy in the last century, i.e. the Great Depression...
This study assesses the impact of 9/11 on the Market’s risk aversion using S&P500 options. Risk Neut...
The two large scale crises that hit the world economy in the last century, i.e. the Great Depression...
This study assesses the impact of 9/11 on the Market’s risk aversion using S&P500 options. Risk Neu...
The topic of extreme events is becoming ever more important for risk management. Stress testing is a...
The two large scale crises that hit the world economy in the last century, i.e. the Great Depressio...
This paper investigates the effects that terrorist attacks and mass shootings had on the U.S. stock ...
This paper empirically analysis the price jump behavior of heavily traded US stocks during the recen...
Did the terrorist attacks of September 11, 2001 change the volatility dynamics of stock markets? Usi...
The problem of particular importance in financial risk management is forecasting the magnitude of a ...
We propose a methodology based on multivariate extreme value theory, to analyze the dependence betwe...
We apply extreme value analysis to us sectoral stock indices in order to assess whether tail risk me...
Extreme value theory has been widely applied in insurance and finance to model rare events. Plenty o...
Contains fulltext : 68638.pdf (publisher's version ) (Closed access)26 p
The problem of particular importance in financial risk management is forecasting the magnitude of a ...
The two large scale crises that hit the world economy in the last century, i.e. the Great Depression...
This study assesses the impact of 9/11 on the Market’s risk aversion using S&P500 options. Risk Neut...
The two large scale crises that hit the world economy in the last century, i.e. the Great Depression...
This study assesses the impact of 9/11 on the Market’s risk aversion using S&P500 options. Risk Neu...
The topic of extreme events is becoming ever more important for risk management. Stress testing is a...
The two large scale crises that hit the world economy in the last century, i.e. the Great Depressio...
This paper investigates the effects that terrorist attacks and mass shootings had on the U.S. stock ...
This paper empirically analysis the price jump behavior of heavily traded US stocks during the recen...
Did the terrorist attacks of September 11, 2001 change the volatility dynamics of stock markets? Usi...
The problem of particular importance in financial risk management is forecasting the magnitude of a ...
We propose a methodology based on multivariate extreme value theory, to analyze the dependence betwe...