univariate.g
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)
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Metadata
| Field | Value |
|---|---|
| Format | g |
| License | CC-BY 4.0 |
| URL | https://jda-test.zbw.eu/dataset/414b4fac-cd08-43b3-9e9f-f24641827c82/resource/e4b8ab7e-5187-4a2f-9ee1-764a5ef67602/download/univariate.g |
| Last updated | November 4, 2022 |
| Created | November 4, 2022 |
