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On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective

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Cited by:

  1. Hussain, Saiful Izzuan & Li, Steven, 2015. "Modeling the distribution of extreme returns in the Chinese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 263-276.
  2. Danielsson, J. & de Haan, L. & Peng, L. & de Vries, C. G., 2001. "Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation," Journal of Multivariate Analysis, Elsevier, vol. 76(2), pages 226-248, February.
  3. Rustam Ibragimov & Johan Walden, 2011. "Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks," Annals of Finance, Springer, vol. 7(3), pages 285-318, August.
  4. Chen Zou, 2009. "Dependence structure of risk factors and diversification effects," DNB Working Papers 219, Netherlands Central Bank, Research Department.
  5. De Bandt, Olivier & Hartmann, Philipp, 2000. "Systemic risk: A survey," Working Paper Series 35, European Central Bank.
  6. Danielsson, Jon & Zhou, Chen, 2015. "Why risk is so hard to measure," LSE Research Online Documents on Economics 62002, London School of Economics and Political Science, LSE Library.
  7. Nils Herger, 2024. "A Runs Test for Stock-Market Prices with an Unobserved Trend," Working Papers 24.01, Swiss National Bank, Study Center Gerzensee.
  8. Casper G. de Vries & Gennady Samorodnitsky & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson, 2005. "Subadditivity Re–Examined: the Case for Value-at-Risk," FMG Discussion Papers dp549, Financial Markets Group.
  9. Gus, Garita & Chen, Zhou, 2011. "Averting Currency Crises: The Pros and Cons of Financial Openness," MPRA Paper 30218, University Library of Munich, Germany.
  10. Garita, Gus & Zhou, Chen, 2009. "Can Financial Openness Help Avoid Currency Crises?," MPRA Paper 23166, University Library of Munich, Germany, revised 07 Jun 2010.
  11. da Silva, Afonso Gonçalves & Robinson, Peter M., 2008. "Fractional Cointegration In Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 24(5), pages 1207-1253, October.
  12. Geluk, J.L. & De Vries, C.G., 2006. "Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 39-56, February.
  13. Raúl Susmel, 1998. "Extreme Observations and Diversification in Latin American Emerging Equity Markets," CEMA Working Papers: Serie Documentos de Trabajo. 138, Universidad del CEMA.
  14. Jorge A. Chan-Lau & Donald J. Mathieson & James Y. Yao, 2004. "Extreme Contagion in Equity Markets," IMF Staff Papers, Palgrave Macmillan, vol. 51(2), pages 1-8.
  15. Iglesias, Emma M., 2015. "Value at Risk of the main stock market indexes in the European Union (2000–2012)," Journal of Policy Modeling, Elsevier, vol. 37(1), pages 1-13.
  16. Chakraborty, Abhijit & Easwaran, Soumya & Sinha, Sitabhra, 2018. "Deviations from universality in the fluctuation behavior of a heterogeneous complex system reveal intrinsic properties of components: The case of the international currency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 599-610.
  17. Bryan Kelly & Hao Jiang, 2013. "Tail Risk and Asset Prices," NBER Working Papers 19375, National Bureau of Economic Research, Inc.
  18. Phornchanok Cumperayot Kouwenberg, 2015. "Stability of Thai Baht: Tales from the Tails," PIER Discussion Papers 1, Puey Ungphakorn Institute for Economic Research.
  19. G. D. Gettinby & C. D. Sinclair & D. M. Power & R. A. Brown, 2004. "An Analysis of the Distribution of Extreme Share Returns in the UK from 1975 to 2000," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5‐6), pages 607-646, June.
  20. de Lima, Pedro J. F., 1997. "On the robustness of nonlinearity tests to moment condition failure," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 251-280.
  21. Troy Tassier, 2013. "Handbook of Research on Complexity, by J. Barkley Rosser, Jr. and Edward Elgar," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 39(1), pages 132-133.
  22. Li, Fuchun & Perez-Saiz, Hector, 2018. "Measuring systemic risk across financial market infrastructures," Journal of Financial Stability, Elsevier, vol. 34(C), pages 1-11.
  23. P. Bertrand & J.L. Prigent, 2000. "Portfolio Insurance : The extreme Value of the CCPI Method," THEMA Working Papers 2000-49, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  24. Thierry Michel & Bertrand Maillet, 2002. "How Deep was the September 2001 Stock Market Crisis? Putting Recent Events on the American and French Markets into Perspective with an Index of Market Shocks," FMG Discussion Papers dp417, Financial Markets Group.
  25. Maarten van Oordt & Chen Zhou, 2011. "Systematic risk under extremely adverse market condition," DNB Working Papers 281, Netherlands Central Bank, Research Department.
  26. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
  27. Runde, Ralf & Scheffner, Axel, 1998. "On the existence of moments: With an application to German stock returns," Technical Reports 1998,25, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  28. Chen, Zhimin & Ibragimov, Rustam, 2019. "One country, two systems? The heavy-tailedness of Chinese A- and H- share markets," Emerging Markets Review, Elsevier, vol. 38(C), pages 115-141.
  29. Danielsson, Jon & Ergun, Lerby M. & Haan, Laurens de & Vries, Casper G. de, 2016. "Tail index estimation: quantile driven threshold selection," LSE Research Online Documents on Economics 66193, London School of Economics and Political Science, LSE Library.
  30. Thomas Lux, 2009. "Applications of Statistical Physics in Finance and Economics," Chapters, in: J. Barkley Rosser Jr. (ed.), Handbook of Research on Complexity, chapter 9, Edward Elgar Publishing.
  31. Charilaos Mertzanis, 2013. "Risk Management Challenges after the Financial Crisis," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 42(3), pages 285-320, November.
  32. Segnon, Mawuli & Lux, Thomas, 2013. "Multifractal models in finance: Their origin, properties, and applications," Kiel Working Papers 1860, Kiel Institute for the World Economy (IfW Kiel).
  33. Ibragimov Marat & Khamidov Rufat, 2010. "Heavy-Tailedness and Volatility in Emerging Foreign Exchange Markets: Theory and Empirics," EERC Working Paper Series 10/06e, EERC Research Network, Russia and CIS.
  34. Holger Drees & Laurens F.M. de Haan & Sidney Resnick, 1998. "How to make a Hill Plot," Tinbergen Institute Discussion Papers 98-090/4, Tinbergen Institute.
  35. M. F. Omran, 1997. "Moment condition failure in stock returns: UK evidence," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(4), pages 201-206.
  36. Su Xu, 2017. "A VaR assuming Student t distribution not significantly different from a VaR assuming normal distribution," Risk Management, Palgrave Macmillan, vol. 19(3), pages 189-201, August.
  37. Iglesias, Emma M. & Linton, Oliver, 2009. "Estimation of tail thickness parameters from GJR-GARCH models," UC3M Working papers. Economics we094726, Universidad Carlos III de Madrid. Departamento de Economía.
  38. Daniele Massacci, 2017. "Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness," Management Science, INFORMS, vol. 63(9), pages 3072-3089, September.
  39. Straetmans, Stefan, 2000. "Extremal spillovers in financial markets," Serie Research Memoranda 0013, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  40. Longin, François & Pagliardi, Giovanni, 2016. "Tail relation between return and volume in the US stock market: An analysis based on extreme value theory," Economics Letters, Elsevier, vol. 145(C), pages 252-254.
  41. Khurshid M. Kiani, 2016. "On Modelling and Forecasting Predictable Components in European Stock Markets," Computational Economics, Springer;Society for Computational Economics, vol. 48(3), pages 487-502, October.
  42. S. T. M. Straetmans & W. F. C. Verschoor & C. C. P. Wolff, 2008. "Extreme US stock market fluctuations in the wake of 9|11," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 17-42.
  43. Victor Pontines, 2010. "Fat-tails and house prices in OECD countries," Applied Economics Letters, Taylor & Francis Journals, vol. 17(14), pages 1373-1377.
  44. Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013. "Stable mixture GARCH models," Journal of Econometrics, Elsevier, vol. 172(2), pages 292-306.
  45. Makoto Nirei & John Stachurski & Tsutomu Watanabe, 2018. "Trade Clustering and Power Laws in Financial Markets (Published in Theoretical Economics, 15:1365?1398, 2020)," CARF F-Series CARF-F-450, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  46. Moore, Kyle & Zhou, Chen, 2013. ""Too big to fail" or "Too non-traditional to fail"?: The determinants of banks' systemic importance," MPRA Paper 45589, University Library of Munich, Germany.
  47. Meerschaert, Mark M. & Scheffler, Hans-Peter, 2008. "Triangular array limits for continuous time random walks," Stochastic Processes and their Applications, Elsevier, vol. 118(9), pages 1606-1633, September.
  48. Daniel Fricke & Thomas Lux, 2015. "On the distribution of links in the interbank network: evidence from the e-MID overnight money market," Empirical Economics, Springer, vol. 49(4), pages 1463-1495, December.
  49. Kaehler, Jürgen, 1993. "On the modelling of speculative prices by stable Paretian distributions and regularly varying tails," ZEW Discussion Papers 93-25, ZEW - Leibniz Centre for European Economic Research.
  50. Jansen, Dennis W. & Koedijk, Kees G. & de Vries, Casper G., 2000. "Portfolio selection with limited downside risk," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 247-269, November.
  51. Jondeau, Eric & Rockinger, Michael, 2003. "Testing for differences in the tails of stock-market returns," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 559-581, December.
  52. Xavier Gabaix & Parameswaran Gopikrishnan & Vasiliki Plerou & H. Eugene Stanley, 2006. "Institutional Investors and Stock Market Volatility," The Quarterly Journal of Economics, Oxford University Press, vol. 121(2), pages 461-504.
  53. Pais, Amelia & Stork, Philip A., 2011. "Contagion risk in the Australian banking and property sectors," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 681-697, March.
  54. Polanski, Arnold & Stoja, Evarist, 2016. "Extreme risk interdependence," ESRB Working Paper Series 12, European Systemic Risk Board.
  55. Zacharias Psaradakis & Marián Vávra, 2019. "Portmanteau tests for linearity of stationary time series," Econometric Reviews, Taylor & Francis Journals, vol. 38(2), pages 248-262, February.
  56. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Working Papers 16223, National Bureau of Economic Research, Inc.
  57. Fuchun Li & Héctor Pérez Saiz, 2016. "Measuring Systemic Risk Across Financial Market Infrastructures," Staff Working Papers 16-10, Bank of Canada.
  58. Broussard, John Paul & Booth, G. Geoffrey, 1998. "The behavior of extreme values in Germany's stock index futures: An application to intradaily margin setting," European Journal of Operational Research, Elsevier, vol. 104(3), pages 393-402, February.
  59. Straetmans, Stefan & Candelon, Bertrand, 2013. "Long-term asset tail risks in developed and emerging markets," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 1832-1844.
  60. Moore, Kyle & Sun, Pengfei & de Vries, Casper G. & Zhou, Chen, 2013. "The cross-section of tail risks in stock returns," MPRA Paper 45592, University Library of Munich, Germany.
  61. Gus Garita & Chen Zhou, 2009. "Can Open Capital Markets Help Avoid Currency Crises?," DNB Working Papers 205, Netherlands Central Bank, Research Department.
  62. ROCKINGER, Michael & JONDEAU, Eric, 1999. "The Tail Behavior of Stock Returns: Emerging versus Mature Markets," HEC Research Papers Series 668, HEC Paris.
  63. Assaf, A., 2009. "Extreme observations and risk assessment in the equity markets of MENA region: Tail measures and Value-at-Risk," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 109-116, June.
  64. Susmel, Raul, 2001. "Extreme observations and diversification in Latin American emerging equity markets," Journal of International Money and Finance, Elsevier, vol. 20(7), pages 971-986, December.
  65. Namwon Hyung & Casper G. de Vries, 2005. "Portfolio Diversification Effects of Downside Risk," Tinbergen Institute Discussion Papers 05-008/2, Tinbergen Institute.
  66. G. Booth & John Broussard, 1998. "Setting NYSE Circuit Breaker Triggers," Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(3), pages 187-204, June.
  67. Ibragimov, Rustam & Walden, Johan, 2007. "The limits of diversification when losses may be large," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2551-2569, August.
  68. Xinghui Wang & Shuhe Hu, 2017. "Asymptotics of self-weighted M-estimators for autoregressive models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(1), pages 83-92, January.
  69. Zhou, Chen, 2013. "The impact of imposing capital requirements on systemic risk," Journal of Financial Stability, Elsevier, vol. 9(3), pages 320-329.
  70. Marcel Canoy & Machiel van Dijk & Jan Lemmen & Ruud de Mooij & Jürgen Weigand, 2001. "Competition and stability in banking," CPB Document 15.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
  71. Maarten R C van Oordt & Chen Zhou, 2019. "Estimating Systematic Risk under Extremely Adverse Market Conditions," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 17(3), pages 432-461.
  72. Rockinger, Michael & Poon, Ser-Huang & Tawn, Jonathan, 2001. "New Extreme-Value Dependence Measures and Finance Applications," CEPR Discussion Papers 2762, C.E.P.R. Discussion Papers.
  73. Phillips, Peter C B & McFarland, James W & McMahon, Patrick C, 1996. "Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(1), pages 1-22, Jan.-Feb..
  74. Meagan M. Jordan, 2003. "Punctuations and agendas: A new look at local government budget expenditures," Journal of Policy Analysis and Management, John Wiley & Sons, Ltd., vol. 22(3), pages 345-360.
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  77. Rustam Ibragimov, 2005. "Portfolio Diversification and Value At Risk Under Thick-Tailedness," Yale School of Management Working Papers amz2386, Yale School of Management, revised 01 Aug 2005.
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  82. Danielsson, Jon & Zhou, Chen, 2015. "Why risk is so hard to measure," LSE Research Online Documents on Economics 62002, London School of Economics and Political Science, LSE Library.
  83. Candelon, Bertrand & Straetmans, Stefan, 2006. "Testing for multiple regimes in the tail behavior of emerging currency returns," Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1187-1205, November.
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  91. Kawas, Ban & Thiele, Aurélie, 2011. "Short sales in Log-robust portfolio management," European Journal of Operational Research, Elsevier, vol. 215(3), pages 651-661, December.
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  93. Adam Borovička, 2022. "Stock portfolio selection under unstable uncertainty via fuzzy mean-semivariance model," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 30(2), pages 595-616, June.
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