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Tail risk dynamics in stock returns : links to the macroeconomy and global markets connectedness

Massacci, Daniele - In: Management science : journal of the Institute for … 63 (2017) 9, pp. 3072-3089

Persistent link: https://www.econbiz.de/10011749024

Weather effects on stock returns and volatility in South Asian markets

Sheikh, Muhammad Fayyaz; Ali Shah, Syed Zulfiqar; … - In: Asia-Pacific financial markets 24 (2017) 2, pp. 75-107

Persistent link: https://www.econbiz.de/10011797611

Distribution specific dependence and causality between industry-level U.S. credit and stock markets

Shahzad, Syed Jawad Hussain; Mensi, Walid; Hammoudeh, … - In: Journal of international financial markets, … 52 (2018), pp. 114-133

Persistent link: https://www.econbiz.de/10011986230

Average tail risk and aggregate stock returns

Dai, Yingtong; Harris, Richard D. F. - In: Journal of international financial markets, … 82 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014245903

Lottery and bubble stocks and the cross-section of option-implied tail risks

Agarwalla, Sobhesh Kumar; Saurav, Sumit; Varma, Jayanth Rama - In: The journal of futures markets 42 (2022) 2, pp. 231-249

Persistent link: https://www.econbiz.de/10012817879

Predicting the tail behavior of financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing banking indices : extreme value theory approach

Makatjane, Katleho; Moroke, Ntebogang Dinah; Munapo, Elias - In: Handbook of research on emerging theories, models, and …, (pp. 31-64). 2021

The incidence of rare but extreme events appears to be significant in worldwide financial markets. In this chapter we apply extreme value theory (EVT) distributions to predict extreme losses of five South African (SA) financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing...

Persistent link: https://www.econbiz.de/10012604174