swv-appendix.pdf
Creators:
Stefan Straetmans
;
Willem F. C. Verschoor
;
Christian C. P. Wolff
From the dataset abstract
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...
Source: Extreme US stock market fluctuations in the wake of 9/11 (replication data)
Metadata
| Field | Value |
|---|---|
| Format | application/pdf |
| License | CC-BY 4.0 |
| URL | https://jda-test.zbw.eu/dataset/414b4fac-cd08-43b3-9e9f-f24641827c82/resource/47fb52f8-0e7c-4ff6-a37a-c26772b12e7e/download/swv-appendix.pdf |
| Last updated | November 4, 2022 |
| Created | November 4, 2022 |
