ß in the tails
Year of publication: |
2022
|
---|---|
Authors: | Bandi, Federico M. ; Renò, Roberto |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 227.2022, 1, p. 134-150
|
Subject: | Beta | Diffusive risk | Hedge funds | Jump risk | Hedgefonds | Hedge fund | Risiko | Risk | Portfolio-Management | Portfolio selection | Hedging | Betafaktor | Beta risk | Risikomaß | Risk measure | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | CAPM | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Risikoprämie | Risk premium |
-
Quantile spectral beta : a tale of tail risks, investment horizons, and asset prices
Barunik, Jozef, (2023)
-
Systematic risk and the cross section of hedge fund returns
Bali, Turan G., (2012)
-
Riedel, Christoph, (2015)
- More ...
-
Nonparametric stochastic volatility
Bandi, Federico M., (2009)
-
Bandi, Federico M., (2012)
-
Bandi, Federico M., (2014)
- More ...