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Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2019 - This version: February 2019

This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns …. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on …. We find that stocks with a high exposure to joint crashes of the market and the momentum factor bear a risk premium which …

Persistent link: https://www.econbiz.de/10011993538

Aggregation of dependent risks in mixtures of exponential distributions and extensions

Sarabia Alzaga, José Maria; Gómez-Déniz, Emilio; … - In: Astin bulletin : the journal of the International … 48 (2018) 3, pp. 1079-1107

Persistent link: https://www.econbiz.de/10011999867

Aggregate tail risk and expected returns

Chapman, David A.; Gallmeyer, Michael F.; Martin, J. Spencer - In: Review of asset pricing studies 8 (2018) 1, pp. 36-76

Persistent link: https://www.econbiz.de/10012001536

Distribution uncertainty and expected stock returns

Chae, Joon; Lee, Eun Jung - In: Finance research letters 25 (2018), pp. 55-61

Persistent link: https://www.econbiz.de/10012003434

Sharp asymptotics for large portfolio losses under extreme risks

Tang, Qihe; Tang, Zhaofeng; Yang, Yang - In: European journal of operational research : EJOR 276 (2019) 2, pp. 710-722

Persistent link: https://www.econbiz.de/10012003644

Making Cornish-Fisher fit for risk measurement

Lamb, John D.; Monville, Maura E.; Tee, Kaihong - In: Journal of risk 21 (2018/2019) 5, pp. 53-81

Persistent link: https://www.econbiz.de/10012059934

Can cryptocurrencies be a safe haven : a tail risk perspective analysis

Feng, Wenjun; Yiming, Wang; Zhang, Zhengjun - In: Applied economics 50 (2018) 44, pp. 4745-4762

Persistent link: https://www.econbiz.de/10012061627

Reversed hazard function of uncertain lifetime

Ahmadzade, Hamed; Gao, Rong - In: Fuzzy optimization and decision making : a journal of … 17 (2018) 4, pp. 387-400

Persistent link: https://www.econbiz.de/10012098286

"On the (Ab)use of Omega?"

Caporin, Massimiliano; Costola, Michele; Jannin, Gregory; … - In: Journal of empirical finance 46 (2018), pp. 11-33

Persistent link: https://www.econbiz.de/10012103452

Crash risk and risk neutral densities

Chen, Ren-Raw; Hsieh, Pei-lin; Huang, Jeffrey - In: Journal of empirical finance 47 (2018), pp. 162-189

Persistent link: https://www.econbiz.de/10012103473