Tail risk: What causes crashes? - Are large market events caused by exogenous shocks or can they occur endogenously? Here, the authors ask this question of large stock market events and conclude endogenous crashes do exist.
| Year of publication: |
2003
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|---|---|
| Authors: | Sornette, Didier ; Malevergne, Yannick ; Muzy, Jean-François |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 16.2003, 2, p. 67-72
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