Tail risk and return predictability for the Japanese equity market
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Publication:2658790
DOI10.1016/j.jeconom.2020.07.005zbMath1471.62490MaRDI QIDQ2658790
Masato Ubukata, Viktor Todorov, Torben G. Andersen
Publication date: 24 March 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.07.005
62P05: Applications of statistics to actuarial sciences and financial mathematics
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