Results 111 to 120 of about 6,316,556 (202)

Tail risk in international markets [PDF]

, 2016
Tail risk, defined as extreme event risk in asset markets, is an important consideration for investors when making investment decisions. This paper empirically tests the role of tail risk in international market. Using sample of 40 countries from 1980 to
Wang, Yanchu
core  

A new class of copulas with tail dependence and a generalized tail dependence estimator [PDF]

We present a new family of copulas (generalized mean copulas) which is positive comprehensive and allows for upper tail dependence. It includes the Spearman copula and a specific Fréchet copula as special cases.
Fischer, Matthias J., Hinzmann, Gerd
core  

Is Corporate Social Responsibility investing a free lunch? The relationship between ESG, tail risk, and upside potential of stocks before and during the COVID-19 crisis. [PDF]

Financ Res Lett, 2022
Lööf H, Sahamkhadam M, Stephan A.
europepmc   +1 more source

Capital Regulation and Tail Risk

The paper studies risk mitigation associated with capital regulation, in a context where banks may choose tail risk assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited liability ...
Razvan Vlahu, Lev Ratnovski, Enrico Perotti   +2 more
core   +1 more source

On Functional Central Limit Theorems for Dependent, Heterogeneous Tail Arrays with Applications to Tail Index and Tail Dependence Estimators [PDF]

We establish functional central limit theorems for a broad class of dependent, heterogeneous tail arrays encountered in the extreme value literature, including extremal exceedances, tail empirical processes and tail empirical quantile processes.
Jonathan Hill
core  

Monte Carlo-Based Tail Exponent Estimator [PDF]

In this paper we study the finite sample behavior of the Hill estimator under α-stable distributions. Using large Monte Carlo simulations we show that the Hill estimator overestimates the true tail exponent and can hardly be used on samples with small ...
Jozef Barunik, Lukas Vacha
core  

Tail risk, large fluctuations and downfalls in renewable energy markets. [PDF]

PLoS One
Hasanov AS, Ibragimov R, Yildirim R, Chong SK, Abrorov S.   +4 more
europepmc   +1 more source

Dynamic financial tail risk networks: A backtesting-based conditional expected shortfall approach. [PDF]

PLoS One
Zhang D, Yan X, Shen F.
europepmc   +1 more source

Individual differences in tail risk sensitive exploration using Bayes-adaptive Markov decision processes. [PDF]

Elife
Shen T, Dayan P.
europepmc   +1 more source