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://journaldata.zbw.eu/dataset/1d29c797-81c7-417b-9c18-1a8d2f61501f/resource/0019a447-428e-4a5a-86e2-5065ea4fc1b7/download/univariate.g |
| Last updated | November 15, 2022 |
| Created | November 15, 2022 |
