Idiosyncratic tail risk and expected stock returns : evidence from the Chinese stock markets
Huaigang Long, Yuexiang Jiang, Yanjian Zhu
| Year of publication: |
March 2018
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|---|---|
| Authors: | Long, Huaigang ; Jiang, Yuexiang ; Zhu, Yanjian |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 24.2018, p. 129-136
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| Subject: | Extreme value theory | Idiosyncratic tail risk | Idiosyncratic volatility | Return predictability | Volatilität | Volatility | Kapitaleinkommen | Capital income | China | Aktienmarkt | Stock market | Prognoseverfahren | Forecasting model | Ausreißer | Outliers | Risiko | Risk | Kapitalmarktrendite | Capital market returns | Risikomaß | Risk measure | Schätzung | Estimation | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2017.07.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011982519