Persistence of jump-induced tail risk and limits to arbitrage
Year of publication: |
2023
|
---|---|
Authors: | Chow, K. Victor ; John, Kose ; Li, Jingrui ; Sopranzetti, Ben J. |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 4, p. 705-719
|
Subject: | Asymmetry | Cross-section of stock returns | Empirical asset pricing | Return prediction | Tail risk | Kapitaleinkommen | Capital income | Schätzung | Estimation | Börsenkurs | Share price | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Risiko | Risk | Kapitalmarktrendite | Capital market returns | Arbitrage | Risikoprämie | Risk premium | Kapitalmarkttheorie | Financial economics | Statistische Verteilung | Statistical distribution | CAPM |
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