Extremal quantiles and stock price crashes

DOI10.1080/07474938.2023.2241223OpenAlexW4386029697MaRDI QIDQ6082959

Sofia Anyfantaki, Esfandiar Maasoumi, Panayiotis C. Andreou, Carlo Sala

Publication date: 7 December 2023

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2023.2241223

zbMATH Keywords

quantile regressionextreme value theoryextremal quantilesstock price crashes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

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