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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

Is idiosyncratic tail risk priced in the cross-section of bond returns? : evidence from Chinese bond markets

Huang, Wei-Qiang; Zhang, Jing; Liu, Peipei - In: Applied economics letters 30 (2023) 10, pp. 1318-1326

Persistent link: https://www.econbiz.de/10014304235

The predictive power of value-at-risk models in commodity futures markets

Füss, Roland; Adams, Zeno; Kaiser, Dieter G. - In: The journal of asset management 11 (2010/11) 4, pp. 261-285

Persistent link: https://www.econbiz.de/10008728708

Predicting gold volatility : exploring the impact of extreme risk in the international commodity market

Tang, Yusui; Zhong, Juandan - In: Finance research letters 58 (2023) 2, pp. 1-6

Persistent link: https://www.econbiz.de/10014631292

INE oil futures volatility prediction : exchange rates or international oil futures volatility?

Lu, Xinjie; Ma, Feng; Li, Haibo; Wang, Jianqiong - In: Energy economics 126 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014483407

Intraday momentum and return predictability : evidence from the crude oil market

Wen, Zhuzhu; Gong, Xu; Ma, Diandian; Xu, Yahua - In: Economic modelling 95 (2021), pp. 374-384

Persistent link: https://www.econbiz.de/10012696009

Fear in commodity return prediction

Cao, Zhen; Han, Liyan; Wei, Xinbei; Zhang, Qunzi - In: Finance research letters 46 (2022) 2, pp. 1-13

Persistent link: https://www.econbiz.de/10013342809

Tail risk and expected stock returns around the world

Long, Huaigang; Zhu, Yanjian; Chen, Lifang; Jiang, Yuexiang - In: Pacific-Basin finance journal 56 (2019), pp. 162-178

Persistent link: https://www.econbiz.de/10012169574

International tail risk and world fear

Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017

is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of …

Persistent link: https://www.econbiz.de/10011751251

Global tail risk and oil return predictability

Qian, Lihua; Zeng, Qing; Lu, Xinjie; Ma, Feng - In: Finance research letters 47 (2022) 2, pp. 1-6

Persistent link: https://www.econbiz.de/10013553904

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