Stock market tail risk, tail risk premia, and return predictability-Reference-Cited by-同舟云学术

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Stock market tail risk, tail risk premia, and return predictability

Published:2021-06-30 Issue:10 Volume:41 Page:1569-1596
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

Suh Sangwon¹^ORCID,Yoo Eungyu²,Yoon Sun‐Joong³^ORCID

Affiliation:

1. School of Economics Chung‐Ang University Seoul Dongjak‐gu Republic of Korea

2. KB Securities Seoul Youngdeungpo‐gu Republic of Korea

3. Department of Business Administration, Dongguk Business School Dongguk University Seoul Jung‐gu Republic of Korea

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22226

Reference55 articles.

1. Nonparametric risk management and implied risk aversion

2. Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR)

3. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility

4. The risk premia embedded in index options

5. Short‐Term Market Risks Implied by Weekly Options

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1. Measurement, identification, and spillover effects of systemic risk in the international clean energy market;Energy Strategy Reviews;2024-03

2. International stock market volatility: A global tail risk sight;Journal of International Financial Markets, Institutions and Money;2024-03

3. The ‘Short-Run’ Impact of Expectations’ Past Volatility on the Current Predictions of Investors. The Case of VIX;2023

4. Asymmetric Fractal Characteristics and Market Efficiency Analysis of Style Stock Indices;Entropy;2022-07-13

5. Global tail risk and oil return predictability;Finance Research Letters;2022-06

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