Long-term asset tail risks in developed and emerging markets

► We test the temporal constancy of the tail index of financial asset returns. ► We study the stability tests' small sample properties based on the Hill estimator. ► Bootstrapped critical values take account of the bias in the Hill estimator. ► We only find evidence for time variation in emerging currency returns' tail indices. ► It is advisable to calculate long-term measures of tail risk on post-break samples.