Unitus DSpace The DSpace digital repository system captures, stores, indexes, preserves, and distributes digital research material. http://http://dspace.unitus.it:80 2013-05-22T18:43:45Z 2013-05-22T18:43:45Z On the maximum drawdown during speculative bubbles Navarra, Mauro Rotundo, Giulia http://hdl.handle.net/2067/1514 2011-03-25T01:30:14Z 2006-12-31T23:00:00Z Title: On the maximum drawdown during speculative bubbles Authors: Navarra, Mauro; Rotundo, Giulia Abstract: A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bubbles due to endogenous causes in the framework of extreme stock market crashes, defined as falls of market prices that are outlier with respect to the bulk of drawdown price movement distribution. This paper goes on deeper in the analysis providing a further characterization of the rising part of such selected bubbles through the examination of drawdown and maximum drawdown movement of indices prices. The analysis of drawdown duration is also performed and it is the core of the risk measure estimated here. 2006-12-31T23:00:00Z