Is idiosyncratic tail risk priced in the cross-section of bond returns? : evidence from Chinese bond markets
Wei-Qiang Huang, Jing Zhang, Peipei Liu
| Year of publication: |
2023
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| Authors: | Huang, Wei-Qiang ; Zhang, Jing ; Liu, Peipei |
| Published in: |
Applied economics letters. - New York, NY : Routledge, ISSN 1466-4291, ZDB-ID 1484783-8. - Vol. 30.2023, 10, p. 1318-1326
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| Subject: | bond markets | extreme value theory | Idiosyncratic tail risk | return predictability | Rentenmarkt | Bond market | Kapitaleinkommen | Capital income | Risikoprämie | Risk premium | Anleihe | Bond | China | Schätzung | Estimation | Risiko | Risk | Ausreißer | Outliers | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/13504851.2022.2053046 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014304235