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Tail Risk and its Predictive Power

Tail Risk and its Predictive Poweraf Muhammad Kashif
Bag om 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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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783330002579
  • Indbinding:
  • Paperback
  • Sideantal:
  • 52
  • Udgivet:
  • 3. november 2016
  • Størrelse:
  • 150x4x220 mm.
  • Vægt:
  • 96 g.
  • 2-3 uger.
  • 30. november 2024
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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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