Straetmans, S. T. M.; Verschoor, W. F. C.; Wolff, C. C. P. - In: Journal of Applied Econometrics 23 (2008) 1, pp. 17-42
We apply extreme value analysis to US sectoral stock indices in order to assess whether tail risk measures like value-at-risk and extremal linkages were significantly altered by 9|11. We test whether semi-parametric quantile estimates of 'downside risk' and 'upward potential' have increased...
