Disentangling crashes from tail events
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Abstract
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Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00638072
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Other versions of this item:
- Sofiane Aboura, 2015. "Disentangling Crashes from Tail Events," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 20(3), pages 206-219, July.
- Sofiane Aboura, 2015. "Disentangling Crashes from Tail Events," Post-Print halshs-01348725, HAL.
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Cited by:
- Polanski, Arnold & Stoja, Evarist & Chiu, Ching-Wai (Jeremy), 2019. "Tail risk interdependence," Bank of England working papers 815, Bank of England.
- Sofiane Aboura, 2016. "Individual investors and stock returns," Journal of Asset Management, Palgrave Macmillan, vol. 17(7), pages 477-485, December.
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Keywords
Extreme Value Theory; Volatility; Risk Management;All these keywords.
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