Results 131 to 140 of about 220,018 (159)
Some of the next articles are maybe not open access.
SSRN Electronic Journal, 2011
Tail risk refers to the shape of the left tail of the distribution of investment returns. Return distributions are traditionally described in terms of their first for moments: mean return, volatility, skewness and kurtosis. Attribution is a descriptive approach used in portfolio analysis to explain a certain magnitude as the sum of contributions from ...
openaire +1 more source
Tail risk refers to the shape of the left tail of the distribution of investment returns. Return distributions are traditionally described in terms of their first for moments: mean return, volatility, skewness and kurtosis. Attribution is a descriptive approach used in portfolio analysis to explain a certain magnitude as the sum of contributions from ...
openaire +1 more source
Equity tail risk and currency risk premiums
Journal of Financial Economics, 2022Zhenzhen Fan, Juan M Londono
exaly
Tail risk, systemic risk and spillover risk of crude oil and precious metals
Energy Economics, 2022Rizwan Ahmed +2 more
exaly
Tail-risk spillovers in cryptocurrency markets
Finance Research Letters, 2021Qiuhua Xu, Ziyang Zhang
exaly
The Devil Is in the Tail: Macroeconomic Tail Risk Expectations of Firms
This paper examines novel survey evidence on firms’ beliefs about macroeconomic tail risk and their role in investment decisions. In a large survey of German firms, I elicit (i) the subjective probability of a severe macroeconomic downturn and (ii) firms’ exposure to such an event. I consistently find across different empirical approaches that a higheropenaire +2 more sources
Tail risk contagion across electricity markets in crisis periods
Energy Economics, 2023Mohammad Abdullah +2 more
exaly
Tail-risk interconnectedness in the Chinese insurance sector
Research in International Business and Finance, 2023Yufei Cao
exaly
VIX Decomposed Tail Risk Premia and the Tail Risk Factor
SSRN Electronic Journal, 2018Victor Chow +3 more
openaire +1 more source