correlation, the multivariate model tends to produce forecasts of tail risk which are lower than the realized tail risk, under the … normality assumption. Chapter 3 finds that a risk factor, constructed from high frequency market price data and representing the …. Small, growth and high beta portfolios are particularly subject to the asymmetry risk. A multi-factor pricing model with the …

reliance, identify possible vulnerabilities by simulating shocks to GSCs in presence of uncertainty. We stress test supply … sourcing diversification changes in the presence of uncertainty and what are the implications for supply chain robustness and …

In this paper we perform a meta-analysis on empirical estimates of the impact between investment and uncertainty. Since … can explain to a large extent why empirical estimates of the investment-uncertainty relationship differ. …

to climate change. Rather than focusing on uncertainty explicitly, we look at extreme scenarios defined by the upper and …