Showing 1 - 10 of 16,295
financial econometrics literature have developed several models based on Extreme Value Theory (EVT) to carry out these tasks …
Persistent link: https://www.econbiz.de/10011866456
Persistent link: https://www.econbiz.de/10011535422
Persistent link: https://www.econbiz.de/10010416717
Persistent link: https://www.econbiz.de/10010414287
Persistent link: https://www.econbiz.de/10011889486
Persistent link: https://www.econbiz.de/10012486782
Persistent link: https://www.econbiz.de/10011282095
We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...
Persistent link: https://www.econbiz.de/10010226098
Persistent link: https://www.econbiz.de/10010425716
Persistent link: https://www.econbiz.de/10010412098