Tail Risk and its Predictive Power: Extreme financial events risk and its relation to future equity returns - Brossura

Kashif, Muhammad

 
9783330002579: Tail Risk and its Predictive Power: Extreme financial events risk and its relation to future equity returns
Brossura
ISBN 10: 3330002573 ISBN 13: 9783330002579
Casa editrice: LAP LAMBERT Academic Publishing, 2016

Sinossi

The book is very well written, has a good structure, explains concepts in a crisp and concise manner, and place itself very well in the existing finance literature. First, it uncovers the extreme negative events’ risk in the form of power law. Second, it critically analyzes this time-varying tail risk (TVTR) estimator’s implications on the aggregate stock market returns. This study is significantly imperative for equity investors owing to the high persistence level of this estimator. The study also compares tail risk estimator predictive power for prtfolio returns as well as aggregate market returns in the US and the Norwegian market.

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Editore
LAP LAMBERT Academic Publishing
Data di pubblicazione
2016
Lingua
Inglese
ISBN 10 
3330002573
ISBN 13 
9783330002579
Rilegatura
Copertina flessibile
Numero di pagine
52
Contatto del produttore
non disponibile
Persona responsabile
KreGa Onlinehandel GmbH
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