Circuit Breakers and the Tail Index of Equity Returns
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- John W. Galbraith, 2004. "Circuit Breakers and the Tail Index of Equity Returns," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 109-129.
References listed on IDEAS
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- 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.
- Fendel, Ralf & Neumann, Christian, 2021. "Tail risk in the European sovereign bond market during the financial crises: Detecting the influence of the European Central Bank," Global Finance Journal, Elsevier, vol. 50(C).
- 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.
- Wu, Ying, 2019. "Asset pricing with extreme liquidity risk," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 143-165.
- 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.
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- Ayala, Astrid & Blazsek, Szabolcs, 2019. "Score-driven time series models with dynamic shape : an application to the Standard & Poor's 500 index," UC3M Working papers. Economics 28133, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Ayala, Astrid & Blazsek, Szabolcs, 2017. "Dynamic conditional score models with time-varying location, scale and shape parameters," UC3M Working papers. Economics 25043, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Wagner, Niklas, 2005. "Autoregressive conditional tail behavior and results on Government bond yield spreads," International Review of Financial Analysis, Elsevier, vol. 14(2), pages 247-261.
- Palumbo, D., 2021. "Testing and Modelling Time Series with Time Varying Tails," Cambridge Working Papers in Economics 2111, Faculty of Economics, University of Cambridge.
- Bollerslev, Tim & Todorov, Viktor, 2014. "Time-varying jump tails," Journal of Econometrics, Elsevier, vol. 183(2), pages 168-180.
- Riedel, Christoph & Wagner, Niklas, 2015. "Is risk higher during non-trading periods? The risk trade-off for intraday versus overnight market returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 53-64.
- John G. Galbraith & Serguei Zernov, 2006. "Extreme Dependence In The Nasdaq And S&P Composite Indexes," Departmental Working Papers 2006-14, McGill University, Department of Economics.
- Ayala, Astrid & Blazsek, Szabolcs, 2019. "Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk," UC3M Working papers. Economics 28638, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- John Galbraith & Serguei Zernov, 2009. "Extreme dependence in the NASDAQ and S&P 500 composite indexes," Applied Financial Economics, Taylor & Francis Journals, vol. 19(13), pages 1019-1028.
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More about this item
Keywords
Circuit breaker; structural change tests; tail index; Coupe-circuits; tests sur le changement structurel; indice de queue de distribution;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2002-07-04 (Finance)
- NEP-FMK-2002-07-04 (Financial Markets)
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