Multivariate crash risk
Year of publication: |
2021
|
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Authors: | Chabi-Yo, Fousseni ; Huggenberger, Markus ; Weigert, Florian |
Publisher: |
Cologne : University of Cologne, Centre for Financial Research (CFR) |
Subject: | Asset pricing | Non-linear dependence | Crash aversion | Downside risk | Tail risk | Lower tail dependence | Copulas |
Series: | CFR Working Paper ; 21-07 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1762665247 [GVK] hdl:10419/235631 [Handle] RePEc:zbw:cfrwps:2107 [RePEc] |
Classification: | c58 ; G01 - Financial Crises ; G11 - Portfolio Choice ; G12 - Asset Pricing ; G17 - Financial Forecasting |
Source: |
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Chabi-Yo, Fousseni, (2019)
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Chabi-Yo, Fousseni, (2021)
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In Search of Cushion? Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide
Weigert, Florian, (2013)
- More ...
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Chabi-Yo, Fousseni, (2019)
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Chabi-Yo, Fousseni, (2021)
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Chabi-Yo, Fousseni, (2022)
- More ...