Quantile spectral beta : a tale of tail risks, investment horizons, and asset prices
Jozef Baruník and Matěj Nevrla
| Year of publication: |
2023
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|---|---|
| Authors: | Barunik, Jozef ; Nevrla, Matĕj |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 21.2023, 5, p. 1590-1646
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| Subject: | cross-sectional return variation | downside risk | frequency | investment horizons | spectral risk | tail risk | Portfolio-Management | Portfolio selection | CAPM | Kapitaleinkommen | Capital income | Betafaktor | Beta risk | Risikomaß | Risk measure | Risiko | Risk | Börsenkurs | Share price | Risikomanagement | Risk management | Anlageverhalten | Behavioural finance | Statistische Verteilung | Statistical distribution | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbac017 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014444704