IDEAS home Printed from https://ideas.repec.org/a/ids/ijmefi/v5y2012i3p277-298.html
   My bibliography  Save this article

Structural change in tail behaviour and the recent financial crises

Author

Listed:
  • Bechir Raggad
  • Mohamed Boutahar

Abstract

This paper is a contribution in exploring the empirical evidence of the instability in the tail behaviour returns of stock market indices, based on some developments in the analysis of structural change models. The proposed approach can jointly determine the number of structural breaks in a series of tail-indexes and estimate the mean tail-index levels in different regimes. Here we advocate a modified Hill estimator for the tail index. We provide simulations that indicate good finite sample properties of our procedure. The proposed method is then applied to the tail behaviour returns of two international stock market indices, SP500 (USA) and CAC40 (France). The results indicate that procedures perform reasonably well and lead to an appropriate number of breaks with locations coinciding with major financial crisis and events such as the LTCM crisis, September 11, 2001 terrorist attack, sub-prime crisis in 2008 and European Union (EU) debt crisis triggered on 2010.

Suggested Citation

  • Bechir Raggad & Mohamed Boutahar, 2012. "Structural change in tail behaviour and the recent financial crises," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 5(3), pages 277-298.
    • Handle: RePEc:ids:ijmefi:v:5:y:2012:i:3:p:277-298
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=49060
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Andrés Herrera Aramburú & Gabriel Rodríguez, 2016. "Volatility of stock market and exchange rate returns in Peru: Long memory or short memory with level shifts?," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 9(1), pages 45-66.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijmefi:v:5:y:2012:i:3:p:277-298. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=218 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.