Extreme dependence in investor attention and stock returns – consequences for forecasting stock returns and measuring systemic risk

DOI10.1080/14697688.2019.1670857zbMath1466.91317OpenAlexW2981102935WikidataQ126998329 ScholiaQ126998329MaRDI QIDQ4991032

Marcus Scheffer, Gregor N. F. Weiß

Publication date: 2 June 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2019.1670857

zbMATH Keywords

tail dependenceinvestor attentiondependence structuresGoogle trends

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Financial networks (including contagion, systemic risk, regulation) (91G45) Financial markets (91G15)

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