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SSRN Electronic Journal, 2016
We propose new systematic tail risk measures constructed using two different approaches. The first extends the canonical downside beta and co-moment measures, while the second is based on the sensitivity of stock returns to innovations in market crash risk.
Richard D. F. Harris +2 more
openaire +1 more source
We propose new systematic tail risk measures constructed using two different approaches. The first extends the canonical downside beta and co-moment measures, while the second is based on the sensitivity of stock returns to innovations in market crash risk.
Richard D. F. Harris +2 more
openaire +1 more source
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
Tail risk connectedness between US industries
International Journal of Finance and Economics, 2021Linzhi Tan +2 more
exaly
Equity tail risk and currency risk premiums
Journal of Financial Economics, 2022Zhenzhen Fan, Juan M Londono
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
VIX Decomposed Tail Risk Premia and the Tail Risk Factor
SSRN Electronic Journal, 2018Victor Chow +3 more
openaire +1 more source
Tail risk, systemic risk and spillover risk of crude oil and precious metals
Energy Economics, 2022Sajid Chaudhry, Chonlakan Benjasak
exaly