Persistence of jump-induced tail risk and limits to arbitrage
K. Victor Chow, Kose John, Jingrui Li, Ben Sopranzetti
| Year of publication: |
2023
|
|---|---|
| Authors: | Chow, K. Victor ; John, Kose ; Li, Jingrui ; Sopranzetti, Ben J. |
| Subject: | Asymmetry | Cross-section of stock returns | Empirical asset pricing | Return prediction | Tail risk | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Kapitalmarktrendite | Capital market returns | Arbitrage | Kapitalmarkttheorie | Financial economics | Risiko | Risk | Statistische Verteilung | Statistical distribution | Börsenkurs | Share price | Portfolio-Management | Portfolio selection | CAPM | Schätzung | Estimation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2151502 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014304321