On each Alexa device there's a button made available with which you can stop Alexa from listening to you. This sort of defeats the purpose of the device, but at times might be appropriate for the situation. But, ironically, Amazon has not provided a skill to shutdown listening with voice. However, for about $100 and some DIY skills, you can install your own capability to shutdown Alexa's listening capability using your voice.

The solution utilizes a Particle Photon mini-board, a USB port, and an IFTTT applet.

The instructions for how to build the device are here: https://www.hackster.io/ShawnHymel/echo-kill-switch-57f357

However, its possible someone could just develop a third party skill and add it to the Amazon Skills store and provide the same functionality.