Quantile dependencies between discontinuities and time-varying rare disaster risks
Year of publication: |
2021
|
---|---|
Authors: | Gillas, Konstantinos Gkillas ; Floros, Christos ; Suleman, Muhammad Tahir |
Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 27.2021, 10, p. 932-962
|
Subject: | equity market | jumps | quantile dependencies | Rare disaster risks | Theorie | Theory | Risikoprämie | Risk premium | Katastrophe | Disaster | Risiko | Risk | Volatilität | Volatility | Börsenkurs | Share price | Aktienmarkt | Stock market | Schock | Shock | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Wirtschaftskrise | Economic crisis | Equity-Premium-Puzzle | Equity premium puzzle |
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