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COVID-19: Tail risk and predictive regressions [PDF]
PLoS ONE, 2022 The paper focuses on econometrically justified robust analysis of the effects of the COVID-19 pandemic on financial markets in different countries across the World.
Walter Distaso +3 more
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SSRN Electronic Journal, 2020 This paper studies the tail risk of US equity markets in advance of the COVID-19 outbreak in February 2020, providing evidence that financial markets are informative about pandemic risk well in advance of the actual outbreak. Specifically, while the tail risk of the market index did not respond before the outbreak, we document that the tail risk of ...
Breugem M +3 more
europepmc +5 more sources
Portfolio Tail Risk: A Multivariate Extreme Value Theory Approach [PDF]
Entropy, 2020 This paper develops a method for assessing portfolio tail risk based on extreme value theory. The technique applies separate estimations of univariate series and allows for closed-form expressions for Value at Risk and Expected Shortfall. Its forecasting
Miloš Božović
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Will a boom be followed by crash? A new systemic risk measure based on right-tail risk [PDF]
Frontiers in Psychology, 2023 In this study, we demonstrate that high short-term gains on the A-share market may lead to significant losses in the future and potentially cause a market catastrophe.
Qing Liu, Mengxia Xu, Jinwu Xiong
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Tail Risk Spillover Between Global Stock Markets Based on Effective Rényi Transfer Entropy and Wavelet Analysis [PDF]
EntropyTo examine the spillover of tail-risk information across global stock markets, we select nine major stock markets for the period spanning from June 2014 to May 2024 as the sample data. First, we employ effective Rényi transfer entropy to measure the tail-
Jingjing Jia
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Study on the spillover effects of tail risks in the supply chain of China’s pharmaceutical industry [PDF]
Frontiers in Public HealthIntroductionIn the context of heightened economic uncertainty and frequent extreme events, enhancing the resilience of pharmaceutical supply chains, safeguarding their security and stability, and promoting high-quality development in China’s ...
Cheng Wang +5 more
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SSRN Electronic Journal, 2013 AbstractWe test for the presence of a systematic tail risk premium in the cross section of expected returns by applying a measure of the sensitivity of assets to extreme market downturns, the tail beta. Empirically, historical tail betas help predict the future performance of stocks in extreme market downturns.
Maarten R.C. van Oordt, Chen Zhou
openalex +2 more sources
Tail Risk Dynamics under Price-Limited Constraint: A Censored Autoregressive Conditional Fréchet Model [PDF]
EntropyThis paper proposes a novel censored autoregressive conditional Fréchet (CAcF) model with a flexible evolution scheme for the time-varying parameters, which allows deciphering tail risk dynamics constrained by price limits from the viewpoints of ...
Tao Xu, Lei Shu, Yu Chen
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Tail Risk Constraints and Maximum Entropy [PDF]
Entropy, 2015 Portfolio selection in the financial literature has essentially been analyzed under two central assumptions: full knowledge of the joint probability distribution of the returns of the securities that will comprise the target portfolio; and investors ...
Donald Geman +2 more
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On the Shortfall of Tail-Based Entropy and Its Application to Capital Allocation [PDF]
EntropyWe introduce and study the shortfall of tail-based entropy (STE), a tail-sensitive risk functional that combines expected shortfall (ES) and tail-based entropy (TE).
Pingyun Li, Chuancun Yin
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