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This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy …
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we look at the Sharpe ratio and the VaR measure of market risk as well, proposing some decision rules for investors …, regulators and risk managers …
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Although survey‐based point predictions have been found to outperform successful forecasting models, corresponding variance forecasts are frequently diagnosed as heavily distorted. Professional forecasters who report inconspicuously low ex ante variances often produce squared forecast errors...
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