Tail Risk and its Predictive Power
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- Indbinding:
- Paperback
- Sideantal:
- 52
- Udgivet:
- 3. november 2016
- Størrelse:
- 150x4x220 mm.
- Vægt:
- 96 g.
- 2-3 uger.
- 30. november 2024
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Abonnementspris
- Rabat på køb af fysiske bøger
- 1 valgfrit digitalt ugeblad
- 20 timers lytning og læsning
- Adgang til 70.000+ titler
- Ingen binding
Abonnementet koster 75 kr./md.
Ingen binding og kan opsiges når som helst.
- 1 valgfrit digitalt ugeblad
- 20 timers lytning og læsning
- Adgang til 70.000+ titler
- Ingen binding
Abonnementet koster 75 kr./md.
Ingen binding og kan opsiges når som helst.
Beskrivelse af Tail Risk and its Predictive Power
The book is very well written, has a good structure, explains concepts in a crisp and concise manner, and place itself very well in the existing finance literature. First, it uncovers the extreme negative events¿ risk in the form of power law. Second, it critically analyzes this time-varying tail risk (TVTR) estimator¿s implications on the aggregate stock market returns. This study is significantly imperative for equity investors owing to the high persistence level of this estimator. The study also compares tail risk estimator predictive power for prtfolio returns as well as aggregate market returns in the US and the Norwegian market.
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