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dc.contributor.authorChollete, Lorán
dc.date.accessioned2008-06-24T12:07:22Z
dc.date.available2008-06-24T12:07:22Z
dc.date.issued2007-12
dc.identifier.issn1500-4066
dc.identifier.urihttp://hdl.handle.net/11250/163943
dc.description.abstractWhat drives extreme and rare economic events? Motivated by recent theory, and events in US subprime markets, we begin to open the black box of extremes. Specifically, we build a taxonomy of extremes, then extend standard economic analysis of extreme risk. First, we model the potentially relevant dimensions of dynamics and endogeneity. In characterizing individuals? endogenous propagation of extremes, we relate the latter to public goods. Second, using over a century of daily stock price data, we construct empirical probabilities of extremes. We document that extremes are relatively frequent and persistent. We find evidence that extremes are endogenous, raising the possibility that control of extremes is a public good.en
dc.language.isoengen
dc.publisherNorwegian School of Economics and Business Administration. Department of Finance and Management Scienceen
dc.relation.ispartofseriesDiscussion paperen
dc.relation.ispartofseries2008:2en
dc.subjectextreme eventen
dc.subjectsubprime marketen
dc.subjectdynamicsen
dc.subjectendogeneityen
dc.subjectpublic gooden
dc.titleThe propagation of financial extremes: an application to subprime market spilloversen
dc.typeWorking paperen
dc.subject.nsiVDP::Samfunnsvitenskap: 200::Økonomi: 210en


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