Tail risk concerns everywhere
… varying nature of tail risk. Second, as option prices are forward-looking, … tail risk measure
captures investors’ ex ante perception of tail risk, which we hence dub as the tail risk concerns …
captures investors’ ex ante perception of tail risk, which we hence dub as the tail risk concerns …
Tail risk in momentum strategy returns
… is on the strategy’s tail risk. In particular, we show how this tail risk arises, model it with our
HMM, estimate this model and show that it captures these important tail risks better than other …
HMM, estimate this model and show that it captures these important tail risks better than other …
[PDF][PDF] Rare disaster concerns everywhere
… the ex ante perception of tail risks that drives expected returns. In fact, our results suggest
that the extremely high perception of tail risk (rather than tail risk itself) explains the frequently …
that the extremely high perception of tail risk (rather than tail risk itself) explains the frequently …
The pricing of tail risk and the equity premium: Evidence from international option markets
… We explore the pricing of tail risk as manifest in index options across … The risk premium
associated with negative tail events displays persistent shifts, unrelated to volatility. This tail risk …
associated with negative tail events displays persistent shifts, unrelated to volatility. This tail risk …
Assessing macroeconomic tail risk
… tail risk in US aggregate outcomes. In particular, we study how macroeconomic shocks affect
tail risk… The fact that all shocks we study display this tail risk asymmetry points to a common …
tail risk… The fact that all shocks we study display this tail risk asymmetry points to a common …
[PDF][PDF] Bond implied risks around macroeconomic announcements
X Li - … Implied Risks Around Macroeconomic Announcements …, 2021 - efmaefm.org
… uncertainty and tail risks. I find that bond tail risk 1) positively correlates with stock tail risk
before … becomes positive, warning the serious stress everywhere. As seen in Figure 4, we can …
before … becomes positive, warning the serious stress everywhere. As seen in Figure 4, we can …
[图书][B] The fat tail: The power of political knowledge in an uncertain world (with a new preface)
I Bremmer, P Keat - 2010 - books.google.com
… the risks. The financial crisis was not driven primarily by politics, but it reminds us that a
surprising number of fat-tailed risks … , the number of potential political fat tails is growing as well. …
surprising number of fat-tailed risks … , the number of potential political fat tails is growing as well. …
The Impact of Equity Tail Risk on European Markets
M dos Prazeres Conduto - 2023 - search.proquest.com
… I apply a dynamic equity tail risk variable to equity and government bond returns in Europe,
… , departing from a risk aversion premise. I show that tail risk has predictive power for market …
… , departing from a risk aversion premise. I show that tail risk has predictive power for market …
Measuring systemic risk contribution of global stock markets: A dynamic tail risk network approach
… Besides, it needs attention that South American and African markets have displayed
increasing risk contributions since 2018. Overall, our results highlight that considering tail risk …
increasing risk contributions since 2018. Overall, our results highlight that considering tail risk …
[图书][B] Heavy-tail phenomena: probabilistic and statistical modeling
SI Resnick - 2007 - books.google.com
… in heavy-tail analysis as well as some examples of their use. Heavy tails are characteristic
of … In probability applications, we are concerned with distributions whose tails are regularly …
of … In probability applications, we are concerned with distributions whose tails are regularly …
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