Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089410 | Journal of Banking & Finance | 2013 | 13 Pages |
Abstract
⺠We test the temporal constancy of the tail index of financial asset returns. ⺠We study the stability tests' small sample properties based on the Hill estimator. ⺠Bootstrapped critical values take account of the bias in the Hill estimator. ⺠We only find evidence for time variation in emerging currency returns' tail indices. ⺠It is advisable to calculate long-term measures of tail risk on post-break samples.
Related Topics
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Economics and Econometrics
Authors
Stefan Straetmans, Bertrand Candelon,