Tail Risks Across Investment Funds by Jerchern Lin

Subjects: “…tail risk…”
Get full text

SPECIFICS TAIL RISKS THAT THREATEN ECONOMIC SECURITY OF INDUSTRIAL ORGANIZATIONS by A. Savin

Subjects: “…tail risks…”
Get full text

POT-Based Estimation of the Renewal Function of Interoccurrence Times of Heavy-Tailed Risks by Abdelhakim Necir, Abdelaziz Rassoul, Djamel Meraghni

Get full text

Tail Risk in the Chinese Vegetable Oil Market: Based on the EGAS-EVT Model by Yueqiang Zhang, Guanghui Han, Hui Xie, Zixing Wang

“…The study demonstrated that the EGAS-POT models based on nonparametric quantile thresholds can effectively characterise tail risk and provide a feasible measure of risk for investors.…”
Get full text

Multiscale Tail Risk Connectedness of Global Stock Markets: A LASSO-Based Network Topology Approach by Yuting Du, Xu Zhang, Zhijing Ding, Xian Yang

“…Due to the advent of deglobalization and regional integration, this article aims to adopt LASSO-based network connectedness to estimate the multiscale tail risk spillover effects of global stock markets. …”
Get full text

Realized Jump Risk and Equity Return in China by Guojin Chen, Xiaoqun Liu, Peilin Hsieh, Xiangqin Zhao

“…Our empirical results show that the jump tail risk can explain the equity return. For the large capital-size stocks, large cap stock portfolios, and index, one-month lagged jump risk factor significantly explains the asset return variation. …”
Get full text

Extreme time–frequency connectedness between oil shocks and sectoral markets in the United States by Oguzhan Ozcelebi, Jose Pérez-Montiel, Sang Hoon Kang

“…We consider the normal and extreme conditions across different frequency horizons, and the quantile time–frequency connectedness method is used to determine the tail risk contagion under different frequency horizons. …”
Get full text

Modelization and Calibration of the Power-Law Distribution in Stock Market by Maximization of Varma Entropy by Chang Liu, Chuo Chang

“…The underestimation of the tail risk may lead to severe consequences, even for assets with moderate fluctuations. …”
Get full text