Tail Risk and its Predictive Power : Extreme financial events risk and its relation to future equity returns » książka
Tail Risk and its Predictive Power : Extreme financial events risk and its relation to future equity returns
ISBN-13: 9783330002579 / Angielski / Miękka / 2016 / 52 str.
Tail Risk and its Predictive Power : Extreme financial events risk and its relation to future equity returns
ISBN-13: 9783330002579 / Angielski / Miękka / 2016 / 52 str.
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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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