Supplementary Appendix to : “ Jump Tails , Extreme Dependencies , and the Distribution of Stock Returns ” ∗
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چکیده
This supplementary appendix provides estimation results for the different tail dependence measures discussed in the main text for all of the fifty individual stocks listed in Table 2. The detailed estimation results reported here are summarized in Tables 5 and 7 in the
منابع مشابه
Tails , Extreme Dependencies , and the Distribution of Stock Returns ∗
We provide a new framework for estimating the systematic and idiosyncratic jump tail risks in financial asset prices. Our estimates are based on in-fill asymptotics for directly identifying the jumps, together with Extreme Value Theory (EVT) approximations and methods-of-moments for assessing the tail decay parameters and tail dependencies. On implementing the procedures with a panel of intrada...
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تاریخ انتشار 2011