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Disentangling crashes from tail events

Abstract : The study of tail events has become a central preoccupation for academics, investors and policy makers, given the recent financial turmoil. However, what differentiates a crash from a tail event? This article answers this question by taking a risk management perspective that is based on an augmented extreme value theory methodology with an application to the French stock market (1968-2008). In contrast with the common sense, it claims that crashes happen when the volatility is the lowest. Our empirical results indicate that the French stock market experienced only two crashes in 2007-2008 among the 12 identified over the whole period.
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Contributor : Sofiane Aboura <>
Submitted on : Sunday, November 3, 2013 - 7:00:09 AM
Last modification on : Wednesday, September 23, 2020 - 4:28:32 AM
Long-term archiving on: : Tuesday, February 4, 2014 - 2:25:18 AM


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  • HAL Id : halshs-00638072, version 1



Sofiane Aboura. Disentangling crashes from tail events. 2010. ⟨halshs-00638072⟩



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