Results 211 to 220 of about 665,207 (240)
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Management Science, 2019
We show that the beta with respect to an index of global ex ante tail risk concerns (š¯”¾ā„¯š¯•€š¯•¸), which we construct using out-of-the-money options on multiple global assets, negatively drives cross-sectional return variations across asset classes, including international equity indices, foreign currencies, and government bond futures.
George P. Gao +2 more
openaire +1 more source
We show that the beta with respect to an index of global ex ante tail risk concerns (š¯”¾ā„¯š¯•€š¯•¸), which we construct using out-of-the-money options on multiple global assets, negatively drives cross-sectional return variations across asset classes, including international equity indices, foreign currencies, and government bond futures.
George P. Gao +2 more
openaire +1 more source
Systemic Tail Risk Distribution
Annals of Economics and Statistics, 2016We introduce the systemic tail risk distribution of a financial market to characterize the asset return linkages during financial crisis. This distribution provides the probabilities that several assets of a market lose a large part of their nominal value given that the price of at least one of them collapses.
null Alexis BienvenĆ¼e +1 more
openaire +1 more source
Cancer risk among World Trade Center rescue and recovery workers: A review
Ca-A Cancer Journal for Clinicians, 2022Paolo Boffetta +2 more
exaly
Tail risk, systemic risk and spillover risk of crude oil and precious metals
Energy Economics, 2022Rizwan Ahmed, Sajid M Chaudhry
exaly