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How to account for extreme co-movements between individual stocks and the market

Author

Listed:
  • Yannick Malevergne

    (EM - EMLyon Business School)

  • Didier Sornette

Abstract

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Suggested Citation

  • Yannick Malevergne & Didier Sornette, 2004. "How to account for extreme co-movements between individual stocks and the market," Post-Print hal-02312885, HAL.
    • Handle: RePEc:hal:journl:hal-02312885
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    Citations

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    Cited by:

    1. Ranoua Bouchouicha, 2010. "Dépendance entre risques extrêmes : Application aux Hedge Funds," Working Papers 1013, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
    2. Y. Malevergne & D. Sornette, 2003. "VaR-Efficient Portfolios for a Class of Super- and Sub-Exponentially Decaying Assets Return Distributions," Papers physics/0301009, arXiv.org.
    3. Maarten R C van Oordt & Chen Zhou, 2019. "Estimating Systematic Risk under Extremely Adverse Market Conditions," Journal of Financial Econometrics, Oxford University Press, vol. 17(3), pages 432-461.
    4. Jalan, Akanksha & Matkovskyy, Roman & Yarovaya, Larisa, 2021. "“Shiny” crypto assets: A systemic look at gold-backed cryptocurrencies during the COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 78(C).
    5. Roman Matkovskyy, 2020. "A measurement of affluence and poverty interdependence across countries: Evidence from the application of tail copula," Bulletin of Economic Research, Wiley Blackwell, vol. 72(4), pages 404-416, October.
    6. Aguilar, Mike & Hill, Jonathan B., 2015. "Robust score and portmanteau tests of volatility spillover," Journal of Econometrics, Elsevier, vol. 184(1), pages 37-61.
    7. Avramidis, Panagiotis & Pasiouras, Fotios, 2015. "Calculating systemic risk capital: A factor model approach," Journal of Financial Stability, Elsevier, vol. 16(C), pages 138-150.
    8. Y. Malevergne & D. Sornette, 2002. "Hedging Extreme Co-Movements," Papers cond-mat/0205636, arXiv.org.
    9. Bücher Axel, 2014. "A note on nonparametric estimation of bivariate tail dependence," Statistics & Risk Modeling, De Gruyter, vol. 31(2), pages 151-162, June.

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