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Emerging Markets and the Global Economy by Duc Khuong Nguyen, Sabri Boubaker, Mohammed Hedi Arouri

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Chapter 11

Developed and Emerging Equity Market Tail Risk: Is it Constant?

Stefan Straetmans and Bertrand Candelon,    School of Business and Economics, Maastricht University, Maastricht, The Netherlands,    E-mail: s.straetmans@maastrichtuniversity.nl

Abstract

The tail of equity returns is typically governed by a power law, however, the constancy of the so-called tail index image, which dictates the tail decay, has been hardly studied. Using the Hill estimator to estimate the tail index, we study the finite sample properties of endogenous stability tests for . We show that the finite sample critical values strongly depend on the underlying distributional ...

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