This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy …

Sudden and uncertain events often cause cross-contagion of risk among various sectors of the macroeconomy. This paper … uncertainty risk on macroeconomics. Then, the high-dimensional DSGE model (DSGE-SV-t) is developed to examine the impact of … uncertainty risk on the transmission mechanism among macroeconomic sectors. The empirical research found that uncertainty risk …

We provide an extreme value analysis of the returns of Bitcoin. A particular focus is on the tail risk characteristics … the risk characteristics is of utmost importance. So for bitcoin to become a mainstream investable asset class, studying … risk management, financial engineering (such as bitcoin derivatives) - both from an investor's as well as from a regulator …