Article ID Journal Published Year Pages File Type
5089410 Journal of Banking & Finance 2013 13 Pages PDF
Abstract
► 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.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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