Matches in SemOpenAlex for { <https://semopenalex.org/work/W149718166> ?p ?o ?g. }
- W149718166 endingPage "270" @default.
- W149718166 startingPage "241" @default.
- W149718166 abstract "The tail of equity returns is typically governed by a power law, however, the constancy of the so-called tail index α, 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 α. We show that the finite sample critical values strongly depend on the underlying distributional assumptions for the stock returns. We therefore recommend a bootstrap-based version of the stability test as an alternative to the test’s asymptotic distribution. Upon applying this stability test to return tails of developed and emerging equity markets, the evidence for structural shifts is found to be rather weak. This is reassuring news for the proponents of Extreme value Theory (EVT). They typically assume stationary tail behavior when applying tail index and extreme quantile estimators to the downside risk of equity portfolios." @default.
- W149718166 created "2016-06-24" @default.
- W149718166 creator A5014830381 @default.
- W149718166 creator A5086907370 @default.
- W149718166 date "2014-01-01" @default.
- W149718166 modified "2023-09-23" @default.
- W149718166 title "Developed and Emerging Equity Market Tail Risk: Is it Constant?" @default.
- W149718166 cites W114429124 @default.
- W149718166 cites W134514108 @default.
- W149718166 cites W1523228994 @default.
- W149718166 cites W1591272762 @default.
- W149718166 cites W1594350919 @default.
- W149718166 cites W1594572042 @default.
- W149718166 cites W1594603170 @default.
- W149718166 cites W1940537683 @default.
- W149718166 cites W19603482 @default.
- W149718166 cites W1976065046 @default.
- W149718166 cites W1982735580 @default.
- W149718166 cites W1987380341 @default.
- W149718166 cites W1989885782 @default.
- W149718166 cites W2012562345 @default.
- W149718166 cites W2023747655 @default.
- W149718166 cites W2036151776 @default.
- W149718166 cites W2047961193 @default.
- W149718166 cites W2048649579 @default.
- W149718166 cites W2049742719 @default.
- W149718166 cites W2051115413 @default.
- W149718166 cites W2056701644 @default.
- W149718166 cites W2071431289 @default.
- W149718166 cites W2076209196 @default.
- W149718166 cites W2081151063 @default.
- W149718166 cites W2100103325 @default.
- W149718166 cites W2101182724 @default.
- W149718166 cites W2108446661 @default.
- W149718166 cites W2109528417 @default.
- W149718166 cites W2115644827 @default.
- W149718166 cites W2117847142 @default.
- W149718166 cites W2119305404 @default.
- W149718166 cites W2137757470 @default.
- W149718166 cites W2141918957 @default.
- W149718166 cites W2146399390 @default.
- W149718166 cites W2150395718 @default.
- W149718166 cites W2153476573 @default.
- W149718166 cites W2172129579 @default.
- W149718166 cites W2316901936 @default.
- W149718166 cites W2502254989 @default.
- W149718166 cites W2751862591 @default.
- W149718166 cites W3023591372 @default.
- W149718166 cites W3121952130 @default.
- W149718166 cites W3122132421 @default.
- W149718166 cites W3123870109 @default.
- W149718166 cites W3124215635 @default.
- W149718166 cites W3124497024 @default.
- W149718166 cites W3126124568 @default.
- W149718166 cites W35011081 @default.
- W149718166 cites W3183085784 @default.
- W149718166 doi "https://doi.org/10.1016/b978-0-12-411549-1.00011-9" @default.
- W149718166 hasPublicationYear "2014" @default.
- W149718166 type Work @default.
- W149718166 sameAs 149718166 @default.
- W149718166 citedByCount "0" @default.
- W149718166 crossrefType "book-chapter" @default.
- W149718166 hasAuthorship W149718166A5014830381 @default.
- W149718166 hasAuthorship W149718166A5086907370 @default.
- W149718166 hasConcept C105795698 @default.
- W149718166 hasConcept C106159729 @default.
- W149718166 hasConcept C118671147 @default.
- W149718166 hasConcept C147581598 @default.
- W149718166 hasConcept C149441793 @default.
- W149718166 hasConcept C149782125 @default.
- W149718166 hasConcept C1602530 @default.
- W149718166 hasConcept C162324750 @default.
- W149718166 hasConcept C166957645 @default.
- W149718166 hasConcept C17744445 @default.
- W149718166 hasConcept C185429906 @default.
- W149718166 hasConcept C199539241 @default.
- W149718166 hasConcept C199728807 @default.
- W149718166 hasConcept C204036174 @default.
- W149718166 hasConcept C205649164 @default.
- W149718166 hasConcept C2776719154 @default.
- W149718166 hasConcept C2776734221 @default.
- W149718166 hasConcept C2780821815 @default.
- W149718166 hasConcept C33923547 @default.
- W149718166 hasConceptScore W149718166C105795698 @default.
- W149718166 hasConceptScore W149718166C106159729 @default.
- W149718166 hasConceptScore W149718166C118671147 @default.
- W149718166 hasConceptScore W149718166C147581598 @default.
- W149718166 hasConceptScore W149718166C149441793 @default.
- W149718166 hasConceptScore W149718166C149782125 @default.
- W149718166 hasConceptScore W149718166C1602530 @default.
- W149718166 hasConceptScore W149718166C162324750 @default.
- W149718166 hasConceptScore W149718166C166957645 @default.
- W149718166 hasConceptScore W149718166C17744445 @default.
- W149718166 hasConceptScore W149718166C185429906 @default.
- W149718166 hasConceptScore W149718166C199539241 @default.
- W149718166 hasConceptScore W149718166C199728807 @default.
- W149718166 hasConceptScore W149718166C204036174 @default.
- W149718166 hasConceptScore W149718166C205649164 @default.