Extreme US stock market fluctuations in the wake of 9/11
用极端值分析法研究9/11事件是否显著改变了美国行业股指的尾部风险（如风险价值）和极端联动性，发现尾部贝塔值在统计和经济上显著上升，可能源于对恐怖袭击的担忧。
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 test whether semi‐parametric quantile estimates of ‘downside risk’ and ‘upward potential’ have increased after 9/11. The same methodology allows one to estimate probabilities of joint booms and busts for pairs of sectoral indices or for a sectoral index and a market portfolio. The latter probabilities measure the sectoral response to macro shocks during periods of financial stress (so‐called ‘tail‐βs’). Taking 9/11 as the sample midpoint we find that tail‐βs often increase in a statistically and economically significant way. This might be due to perceived risk of new terrorist attacks. Copyright © 2008 John Wiley & Sons, Ltd.