Tail Risk and Asset Prices in the Short-term
Year of publication: |
2022
|
---|---|
Authors: | Almeida, Caio ; Freire, Gustavo ; Garcia, René ; Hizmeri, Rodrigo |
Publisher: |
[S.l.] : SSRN |
Subject: | Börsenkurs | Share price | Risikomaß | Risk measure | Schätzung | Estimation | Kapitaleinkommen | Capital income | Risikoprämie | Risk premium | Risiko | Risk |
Extent: | 1 Online-Ressource (46 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 12, 2022 erstellt |
Other identifiers: | 10.2139/ssrn.4216981 [DOI] |
Classification: | c58 ; G12 - Asset Pricing ; G17 - Financial Forecasting |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan, (2020)
-
International tail risk and world fear
Nguyen, Duc Binh Benno, (2017)
-
Comments on: Nonparametric tail risk, stock returns and the macroeconomy
Camponovo, Lorenzo, (2016)
- More ...
-
Which (Nonlinear) Factor Models?
Almeida, Caio, (2023)
-
An Anatomy of Generalized Entropic Estimators in Option Pricing
Almeida, Caio, (2019)
-
Can a machine correct option pricing models?
Almeida, Caio, (2023)
- More ...