Showing 71 - 80 of 490,374
Persistent link: https://www.econbiz.de/10011807517
Persistent link: https://www.econbiz.de/10010401371
Persistent link: https://www.econbiz.de/10011284508
Persistent link: https://www.econbiz.de/10011326683
Persistent link: https://www.econbiz.de/10010361869
Persistent link: https://www.econbiz.de/10010351545
We propose a new time-varying peaks over threshold model to study tail risk dynamics in equity markets: the laws of …-sorted decile stock portfolios and show that large firm tail risk increases during recessions more than small firms tail risk. Our … risk shocks on the economy. A measure of tail connectedness is proposed: evidence from international equity markets shows …
Persistent link: https://www.econbiz.de/10012972558
Persistent link: https://www.econbiz.de/10013274624
Persistent link: https://www.econbiz.de/10013259807
Persistent link: https://www.econbiz.de/10011585594