Tail risk dynamics in stock returns : links to the macroeconomy and global markets connectedness
Daniele Massacci
| Year of publication: |
September 2017
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| Authors: | Massacci, Daniele |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 63.2017, 9, p. 3072-3089
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| Subject: | time-varying tail risk | score-based model | stock returns | uncertainty | tail connectedness | Kapitaleinkommen | Capital income | Risiko | Risk | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Schätzung | Estimation | Kapitalmarktrendite | Capital market returns | ARCH-Modell | ARCH model | Börsenkurs | Share price | Welt | World |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2016.2488 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011749024