Results 31 to 40 of about 6,316,556 (202)
Equity Tail Risk and Currency Risk Premiums [PDF]
Journal of Financial Economics, 2019 We find that an option-based equity tail risk factor is priced in the cross section of currency returns; more exposed currencies offer a low risk premium because they hedge against equity tail risk. A portfolio that buys currencies with high equity tail beta and shorts those with low beta extracts the global component in the tail factor.
Fan, Z., Londono, J. M., Xiao, X.
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Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog? [PDF]
, 2011 This paper introduces a new, hybrid measure of covariance risk in the lower tail of the stock return distribution, motivated by the under-diversified portfolio holdings of individual investors, and investigates its performance in predicting the cross ...
Whitelaw, Robert F. +2 more
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A Hybrid EGARCH–Informer Model with Consistent Risk Calibration for Volatility and CVaR Forecasting
MathematicsThis study proposes a hybrid EGARCH-Informer framework for forecasting volatility and calibrating tail risk in financial time series. The econometric layer (EGARCH) captures asymmetric and persistent volatility dynamics, while the attention layer ...
Ming Che Lee
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International tail risk and World Fear [PDF]
Journal of International Money and Finance, 2017 We examine the pricing of tail risk in international stock markets. Studying all MSCI Developed and Emerging Markets countries, we find that the tail risk of these countries is highly integrated. We find that both local and our newly computed global tail risk strongly predict global equity index excess returns. These results hold both in-sample and out-
Fabian Hollstein +3 more
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MathematicsAccurate tail risk forecasting in emerging markets is frequently compromised by the nonlinear dynamics and time-varying long memory of high-frequency volatility.
Kaidi Zhang, Shaobing Wu, Dong Zhu
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Measuring the tail risk: An asymptotic approach [PDF]
Journal of Mathematical Analysis and Applications, 2017 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Alexandru V. Asimit, Jinzhu Li
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An examination of the tail contribution to distortion risk measures [PDF]
, 2021 Extreme losses are specially relevant in the finance and insurance sectors. Here, we analyze the tail behavior of risks and its influence on risk measures.
Guillén, Montserrat +7 more
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ResourcesCommodity and carbon markets are central to natural resource allocation, energy security, and the effectiveness of carbon-pricing policies, yet their risk linkages can intensify sharply during crises.
Nader Naifar
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Tail Risk in Production Networks
Econometrica, 2022 This paper describes the response of the economy to large shocks in a nonlinear production network. A sector's tail centrality measures how a large negative shock transmits to GDP, that is, the systemic risk of the sector. Tail centrality is theoretically and empirically very different from local centrality measures such as sales share—in ...
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East Asian Economic ReviewThis paper examines the safe-haven properties of the Japanese yen (JPY), Bitcoin (BTC), gold, and the 10-year U.S. Treasury (UST10Y) under comparable tail-risk conditions.
Han Yan, Heejoon Han
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