?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=http%3A%2F%2Feprints.imtlucca.it%2F3159%2F&rft.title=An+extreme+value+analysis+of+the+last+century+crises%0D%0Aacross+industries+in+the+U.S.+economy&rft.creator=Bee%2C+Marco&rft.creator=Riccaboni%2C+Massimo&rft.creator=Trapin%2C+Luca&rft.subject=HB+Economic+Theory&rft.subject=HD+Industries.+Land+use.+Labor&rft.description=The+two+large+scale+crises+that+hit+the+world+economy+in+the+last+century%2C+i.e.+the+Great%0D%0ADepression+and+the+Great+Recession%2C+have+similar+outbreak+and+recovery+patterns+with%0D%0Arespect+to+several+macroeconomic+variables.+In+particular%2C+the+largest+depressions+are%0D%0Alikely+to+be+accompanied+by+stock-market+crashes.+This+study+investigates+the+behavior%0D%0Aof+the+U.S.+stock+market+before%2C+during+and+after+deep+downturns%2C+focusing+particularly%0D%0Aon+the+tails+of+the+return+distribution.+We+develop+two+automatic+procedures+to+identify%0D%0Amultiple+change-points+in+the+tail+of+financial+time+series+as+well+as+in+the+co-crash+and%0D%0Aco-boom+probabilities+of+different+markets.+We+then+apply+our+methodology+to+twelve%0D%0Atime+series+representative+of+the+sectors+of+the+U.S.+economy.+We+find+that+regime%0D%0Ashifts+in+the+lower+tail+of+the+distribution+tend+to+co-occur+before+deep+downturns.+Our%0D%0Aresults+contribute+to+a+better+understanding+of+the+origin+and+systemic+nature+of+large%0D%0Ascale+events+to+make+policy+interventions+more+timely+and+effective.&rft.publisher=IMT+Institute+for+Advanced+Studies+Lucca&rft.date=2016-02&rft.type=Working+Paper&rft.type=NonPeerReviewed&rft.format=application%2Fpdf&rft.language=en&rft.rights=cc_by_nd&rft.identifier=http%3A%2F%2Feprints.imtlucca.it%2F3159%2F1%2FEIC_WP_02_2016.pdf&rft.identifier=++Bee%2C+Marco+and+Riccaboni%2C+Massimo+and+Trapin%2C+Luca++An+extreme+value+analysis+of+the+last+century+crises+across+industries+in+the+U.S.+economy.++EIC+working+paper+series++%232%2F2016++++IMT+Institute+for+Advanced+Studies+Lucca++++ISSN+2279-689.++++++