A market crash or tail risk? : heavy tails and asymmetry of returns in the Chinese stock market
Year of publication: |
2023
|
---|---|
Authors: | Xing, Zeyu ; Ibragimov, Rustam Ju. |
Published in: |
Essays in honor of Joon Y. Park : econometric methodology in empirical applications. - Bingley, U.K. : Emerald Publishing Limited, ISBN 978-1-83753-214-8. - 2023, p. 181-205
|
Subject: | Market crashes | crises | tail risk | heavy tails | gain/lossasymmetry | structural breaks | Chinese stock market | Finanzkrise | Financial crisis | Aktienmarkt | Stock market | China | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Strukturbruch | Structural break |
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