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Average tail risk and aggregate stock returns

Dai, Yingtong; Harris, Richard D. F. - In: Journal of international financial markets, … 82 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014245903

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

Portfolio optimization under distribution uncertainty with a feature fusion of conditional skewness GARCH model

Khan, Yousaf Ali; Ahmad, Muneeb; Ahmad, Muhammad Munir - In: International journal of financial engineering 10 (2023) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10014304236

Sharing asymmetric tail risk : smoothing, asset pricing and terms of trade

Corsetti, Giancarlo; Lipinska, Anna; Lombardo, Giovanni - 2021

Persistent link: https://www.econbiz.de/10012601997

Predictability of Risk Measures in International Stock Markets

Bali, Turan G. - 2012

This paper investigates the predictability of variance and value at-risk (VaR) measures in international stock markets …. We use daily stock market returns for G7 countries (the United States, the United Kingdom, Germany, Japan, Canada, France … determine the persistency of these risk measures. We find that for all G7 countries considered in the paper persistency in …

Persistent link: https://www.econbiz.de/10013116934