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51
The sum of all fears : forecasting international returns using option-implied
risk
measures
Gagnon, Marie-Hélène
;
Power, Gabriel J.
;
Toupin, Dominique
- In:
Journal of banking & finance
146
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014248207
Saved in:
52
Equity tail
risk
and currency
risk
premiums
Fan, Zhenzhen
;
Londono, Juan M.
;
Xiao, Xiao
- In:
Journal of financial economics
143
(
2022
)
1
,
pp. 484-503
Persistent link: https://www.econbiz.de/10013350667
Saved in:
53
Does the tail
risk
index matter in forecasting downside
risk
?
Hung, Jui-Cheng
;
Liu, Hung-Chun
;
Yang, J. Jimmy
- In:
International journal of finance & economics : IJFE
28
(
2023
)
3
,
pp. 3451-3466
Persistent link: https://www.econbiz.de/10014327761
Saved in:
54
Systemic tail
risk
: high-frequency measurement, evidence and implications
Erdemlioglu, Deniz
;
Neely, Christopher J.
;
Yang, Xiye
-
2023
Persistent link: https://www.econbiz.de/10014320683
Saved in:
55
Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks
Hambuckers, Julien
;
Kratz, Marie
;
Usseglio-Carleve, Antoine
-
2023
stability index, and credit spreads. Moreover, sorting funds along exposure to our tail
risk
measure discriminates between high …
Persistent link: https://www.econbiz.de/10014359412
Saved in:
56
Financial distress and jump tail
risk
: evidence from China's listed companies
Liu, Xiaoqun
;
Zhang, Yuchen
;
Tian, Mengqiao
;
Chao, Youcong
- In:
International review of economics & finance : IREF
85
(
2023
),
pp. 316-336
Persistent link: https://www.econbiz.de/10014427889
Saved in:
57
Diversification benefits of NFTs for conventional asset investors : evidence from CoVaR with higher moments and optimal hedge ratios
Umar, Zaghum
;
Usman, Muhammad
;
Choi, Sun-Yong
;
Rice, John
- In:
Research in international business and finance
65
(
2023
),
pp. 1-26
Persistent link: https://www.econbiz.de/10014432749
Saved in:
58
Quantile spectral beta : a tale of tail risks, investment horizons, and asset prices
Barunik, Jozef
;
Nevrla, Matĕj
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1590-1646
Persistent link: https://www.econbiz.de/10014444704
Saved in:
59
Persistence of jump-induced tail
risk
and limits to arbitrage
Chow, K. Victor
;
John, Kose
;
Li, Jingrui
;
Sopranzetti, …
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 705-719
Persistent link: https://www.econbiz.de/10014304321
Saved in:
60
Tail risks, firm characteristics, and stock returns
Wang, Chen
;
Xiong, Xiong
;
Shen, Dehua
- In:
Pacific-Basin finance journal
75
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013552558
Saved in:
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