Publicação
Time-vaeying tail risk in the financial sector
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Pereira, João Pedro | |
| dc.contributor.author | Gastel, Suzan Van | |
| dc.date.accessioned | 2018-05-11T13:37:16Z | |
| dc.date.available | 2018-05-11T13:37:16Z | |
| dc.date.issued | 2018-01-26 | |
| dc.description.abstract | This paper investigates the usefulness of time-varying tail risk in the financial sector. The findings of this paper support the notion that financial sector time-varying tail risk possesses predictive power over future market returns over a horizon of one-month, one-year, three-years and five-years and some predictive power over future financial crises. Within the financial sector there are four industries recognized; the banking, insurance, broker dealer and other industry. These industries all have a different level of systemic risk and thus pose different risks to the financial sector and in term to the real economy. | pt_PT |
| dc.identifier.tid | 201863804 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/36555 | |
| dc.language.iso | eng | pt_PT |
| dc.subject | Fat tails | pt_PT |
| dc.subject | Time-varying | pt_PT |
| dc.subject | Financial sector | pt_PT |
| dc.subject | Hill alpha | pt_PT |
| dc.subject | Predictor | pt_PT |
| dc.title | Time-vaeying tail risk in the financial sector | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics | pt_PT |