December 2013
Intermediate to advanced
928 pages
28h 50m
English
book
Emerging Markets and the Global Economy
by Mohammed Hedi Arouri, Sabri Boubaker, Duc Khuong Nguyen
Content preview from Emerging Markets and the Global Economy
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Chapter 11
Developed and Emerging Equity Market Tail Risk: Is it Constant?
Stefan Straetmans and Bertrand Candelon, School of Business and Economics, Maastricht University, Maastricht, The Netherlands, E-mail: s.straetmans@maastrichtuniversity.nl
Abstract
The tail of equity returns is typically governed by a power law, however, the constancy of the so-called tail index 
, which dictates the tail decay, has been hardly studied. Using the Hill estimator to estimate the tail index, we study the finite sample properties of endogenous stability tests for . We show that the finite sample critical values strongly depend on the underlying distributional ...
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