Equity market crashes or booms are extreme realizations of the underlying return distribution. This paper questions whether booms are more or less likely than crashes and whether emerging markets crash more frequently than developed equity markets. We apply Extreme Value Theory (EVT) to...

Extreme Value Theory (EVT) offers a powerful framework to characterize financial market crashes and booms. This paper applies EVT to model the behavior of extreme events and compares tail thickness between emerging and developed market equity return distributions. We extend previous results by...