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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