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Publicação
Tail risk dynamics in equity markets: estimation, implications, and predictive power of conditional tail indexes
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| 1.66 MB | Adobe PDF |
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Orientador(es)
Resumo(s)
This work project investigates the significance of tail risk in U.S. and European financial
markets, focusing on stock-specific tail indexes and their implications for asset pricing
and return predictability. Utilizing a flexible framework based on ordinary least squares
(OLS), the work project estimates these tail indexes while incorporating various
macroeconomic and financial covariates. By evaluating the risk premium and the
predictive power of the tail indexes, this research contributes valuable insights into how
financial risks affect market prices. The main finding of the analysis is the discovery of a
significant tail risk premium for European stocks.
Descrição
Palavras-chave
Tail risk Asset pricing Conditional tail index estimation Predictive modeling Extreme market events