The Efficient Tail Hypothesis: An Extreme Value Perspective on Market Efficiency
有效尾部假说：市场效率的极值视角
In finance, the Efficient Market Hypothesis posits that asset prices reflect all available information in the market. Several empirical investigations show that market efficiency drops when it undergoes extreme events. Many models for multivariate extremes focus on positive dependence, making them unsuitable for studying extremal dependence in financial markets where data often exhibit both positive and negative extremal dependence. To this end, we construct regular…