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Analysing the return distribution of Australian stocks : the CAPM, factor models and quantile regressions

Allen, David E.; Singh, Abhay Kumar; Powell, Robert - In: Global business & economics review 15 (2013) 1, pp. 88-109

Persistent link: https://www.econbiz.de/10009708736

Long memory dynamics for multivariate dependence under heavy tails

Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011

Persistent link: https://www.econbiz.de/10009720703

Option-implied information and predictability of extreme returns

Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013

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

Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns

Nakajima, Jouchi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 5, pp. 499-520

Persistent link: https://www.econbiz.de/10010228561

Value at risk estimation for heavy tailed distributions

Gammoudi, Imed; BelKacem, Lotfi; El Ghourabi, Mohamed - In: The international journal of business and finance … 8 (2014) 3, pp. 109-125

Persistent link: https://www.econbiz.de/10010241908

Regime switching stochastic volatility with skew, fat tails and leverage using returns and realized volatility contemporaneously

Trojan, Sebastian - 2013

Persistent link: https://www.econbiz.de/10010243571

Modeling and forecasting realized volatility : getting the most out of the jump component

Clements, Adam; Liao, Yin - 2013

Persistent link: https://www.econbiz.de/10009789511

A comparative study of monotone quantile regression methods for financial returns

Cai, Yuzhi - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-16

Persistent link: https://www.econbiz.de/10011523744

Skewness and the relation between risk and return

Theodossiou, Panayiotis; Savva, Christos S. - In: Management science : journal of the Institute for … 62 (2016) 6, pp. 1598-1609

Persistent link: https://www.econbiz.de/10011502439

Modeling manager confidence in forecasted excess returns under active portfolio management

Birge, John R.; Chávez-Bedoya, Luis - In: The journal of asset management 15 (2014) 6, pp. 353-365

Persistent link: https://www.econbiz.de/10010476259