Does systematic tail risk matter?
Evarist Stoja, Arnold Polanski, Linh H. Nguyen, Aleksandr Pereverzin
| Year of publication: |
2023
|
|---|---|
| Authors: | Stoja, Evarist ; Polanski, Arnold ; Linh Hoang Nguyen ; Pereverzin, Aleksandr |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 82.2023, p. 1-14
|
| Subject: | Tail dependence | Systematic tail risk | Tail risk beta | Risk premium | Risiko | Risk | Statistische Verteilung | Statistical distribution | Risikoprämie | Betafaktor | Beta risk | Risikomaß | Risk measure | Ausreißer | Outliers | Kapitaleinkommen | Capital income | Schätzung | Estimation | Systemrisiko | Systemic risk | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2022.101698 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014245969