Measuring tail risk

DOI10.1016/J.JECONOM.2024.105769MaRDI QIDQ6554228zbMATH OpenFDO

Authors Maik Dierkes, Fabian Hollstein, Marcel Prokopczuk, Christoph Matthias Würsig

Publication date 12 June 2024

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2024.105769

zbMATH Keywords

return forecastingtail event forecastingtail risk

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A simple general approach to inference about the tail of a distribution
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Estimation of jump tails
• HAR Inference: Recommendations for Practice
• scientific article; zbMATH DE number 3713012 (Why is no real title available?)
• Rare disasters and asset markets in the twentieth century
• Realized kernels in practise : trades and quotes
• Tail risk and return predictability for the Japanese equity market
• The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets
• Time-varying jump tails

Cited in

(1)

• Merton (1976) implied jump

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