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Time-vaeying tail risk in the financial sector
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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.
Descrição
Palavras-chave
Fat tails Time-varying Financial sector Hill alpha Predictor