Equity market crashes or booms are extreme realizations of the underlying return distribution. This paper questions whether booms are more or less likely than crashes and whether emerging markets crash more frequently than developed equity markets. We apply Extreme Value Theory (EVT) to...

This paper uses an agent based financial market calibrated to aggregate data. It shows how these markets are able to magnify the volatility of fundamentals, and to create time series with persistent volatility. The mechanism for this persistence is explored using several of the time series...