Structural change in tail behaviour and the recent financial crises
Year of publication: |
2012
|
---|---|
Authors: | Raggad, Bechir ; Boutahar, Mohamed |
Published in: |
International Journal of Monetary Economics and Finance. - Inderscience Enterprises Ltd, ISSN 1752-0479. - Vol. 5.2012, 3, p. 277-298
|
Publisher: |
Inderscience Enterprises Ltd |
Subject: | multiple structural change | extreme value analysis | tail index | modified hill estimator | break dates | tail behaviour returns | stock markets | SP500 | CAC40 |
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