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Nonparametric tail risk, stock returns and the macroeconomy
Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, … - 2016
Persistent link: https://www.econbiz.de/10011458735
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Comments on: Nonparametric tail risk, stock returns and the macroeconomy
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016
This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy …
Persistent link: https://www.econbiz.de/10011518800
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The likelihood of various stock market return distributions
Markowitz, Harry - In: Journal of risk and uncertainty : JRU (1996), pp. 207-219
Persistent link: https://www.econbiz.de/10001212811
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Modeling extreme events : time-varying extreme tail shape
D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 903-917
Persistent link: https://www.econbiz.de/10015053506
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Innovation and stock market performance : a model with ambiguity-averse agents
Grieco, Daniela - In: Journal of evolutionary economics : JEE 28 (2018) 2, pp. 287-303
Persistent link: https://www.econbiz.de/10011948948
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Attitudes towards ambiguous information and stock returns
Zhang, Ziyun - In: Cogent economics & finance 7 (2019) 1, pp. 1-33
This study examines whether investors’ attitudes toward ambiguity can explain cross-sectional stock returns by investigating the relationship between future stock returns and option-implied volatilities as well as implied third moments. We find that investors’ attitudes toward different...
Persistent link: https://www.econbiz.de/10014232777
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Measuring stock market uncertainty
Dakey, Prasad Teja - In: Theoretical and applied economics : GAER review 30 (2023) 2/635, pp. 199-162
Persistent link: https://www.econbiz.de/10014485211
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Value uncertainty
Bali, Turan G.; Del Viva, Luca; El Hefnawy, Menatalla; … - In: Management science : journal of the Institute for … 70 (2024) 7, pp. 4548-4563
Persistent link: https://www.econbiz.de/10015046305
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Bayesian learning in financial markets : price adjustments, fundamentals, and risk
Müller, Christoph - 2009 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003866148
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Knightian uncertainty and stock-price movements : why the REH present-value model failed empirically
Frydman, Roman; Goldberg, Michael D.; Mangee, Nicholas - 2015
uncertainty, which cannot be reduced to a probability distribution, underpins outcomes in the stock market. This finding reveals … the consumption-based specification of the risk premium. The relevance of Knightian uncertainty is inconsistent with all … share a core premise: all future market outcomes can be characterized ex ante with a single overarching probability …
Persistent link: https://www.econbiz.de/10011279656