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Idiosyncratic tail risk and expected stock returns : evidence from the Chinese stock markets

Long, Huaigang; Jiang, Yuexiang; Zhu, Yanjian - In: Finance research letters 24 (2018), pp. 129-136

Persistent link: https://www.econbiz.de/10011982519

On equity risk prediction and tail spillovers

Pouliasis, Panos; Kyriakou, Ioannis; Papapostolou, Nikos - In: International journal of finance & economics : IJFE 22 (2017) 4, pp. 379-393

Persistent link: https://www.econbiz.de/10011960379

Forecasting value at risk and expected shortfall using high-frequency data of domestic and international stock markets

Wang, Man; Cheng, Yihan - In: Journal of forecasting 41 (2022) 8, pp. 1595-1607

Persistent link: https://www.econbiz.de/10013465725

Multivariate volatility forecasts for stock market indices

Wilms, Ines; Rombouts, Jeroen V. K.; Croux, Christophe - In: International journal of forecasting 37 (2021) 2, pp. 484-499

Persistent link: https://www.econbiz.de/10012792845

The sum of all fears : forecasting international returns using option-implied risk measures

Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique - In: Journal of banking & finance 146 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014248207

Jumps in stock prices : new insights from old data

Johnson, James A.; Medeiros, Marcelo C.; Paye, Bradley S. - In: Journal of financial markets 60 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013398004

Extreme returns and idiosyncratic risks : evidence from an emerging market

Cho, Eunyoung - In: Journal of derivatives and quantitative studies 29 (2021) 1, pp. 29-48

evidence that the MAX effect overwhelms the effects of idiosyncratic risk. When we control for idiosyncratic risk, the negative … idiosyncratic risk factors explains the negative premium. Furthermore, our results are not fully explained by the exposure to the … market timing and economic state. Overall, both the extreme return and idiosyncratic risk effects appear to coexist in the …

Persistent link: https://www.econbiz.de/10012592789

Incorporating economic policy uncertainty in US equity premium models : a nonlinear predictability analysis

Bekiros, Stelios; Gupta, Rangan; Majumdar, Anandamayee - In: Finance research letters 18 (2016), pp. 291-296

Persistent link: https://www.econbiz.de/10011657223

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

The role of idiosyncratic jumps in stock markets

Lee, Suzanne S. - In: Journal of financial markets 64 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10014466288

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