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

Kashif, Muhammad

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

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2016
Langue
anglais
ISBN 10 
3330002573
ISBN 13 
9783330002579
Reliure
Broché
Nombre de pages
52
Coordonnées du fabricant
non disponible
Personne responsable
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