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  • Search: subject:"tail beta"
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Year of publication
Subject
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Beta risk 4 Betafaktor 4 asset pricing 3 Ausreißer 2 CAPM 2 Capital income 2 Credit derivative 2 Financial crisis 2 Finanzkrise 2 Kapitaleinkommen 2 Kreditderivat 2 Outliers 2 Portfolio selection 2 Portfolio-Management 2 Risiko 2 Risikomaß 2 Risk 2 Risk measure 2 Statistical distribution 2 Statistische Verteilung 2 extreme value theory 2 risk management 2 systematic risk 2 tail beta 2 2004-2010 1 Aktienmarkt 1 Betriebliche Liquidität 1 Börsenkurs 1 CDS tail beta 1 Capital market returns 1 China 1 Copula 1 Corporate liquidity 1 Credit default swaps 1 Credit insurance 1 Credit risk 1 Derivat 1 Derivative 1 Europa 1 Europe 1
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Online availability
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Free 3 Undetermined 2
Type of publication
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Book / Working Paper 3 Article 2
Type of publication (narrower categories)
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Arbeitspapier 2 Article in journal 2 Aufsatz in Zeitschrift 2 Working Paper 2 Graue Literatur 1 Non-commercial literature 1
Language
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English 4 Undetermined 1
Author
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Weiß, Gregor 2 Chen Zhou 1 Gabrysch, Janet 1 Gabrysch, Sandra 1 Irresberger, Felix 1 Jiang, Yuexiang 1 Long, Huaigang 1 Meine, Christian 1 Oordt, Maarten R. C. van 1 Oordt, Maarten van 1 Supper, Hendrik 1 Zaremba, Adam 1 Zhou, Chen 1
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Institution
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de Nederlandsche Bank 1
Published in...
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Applied economics 1 DNB Working Papers 1 DNB working paper 1 Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823 1 European journal of operational research : EJOR 1
Source
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ECONIS (ZBW) 4 RePEc 1
Showing 1 - 5 of 5
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Beware of the crash risk : tail beta and the cross-section of stock returns in China
Long, Huaigang; Zaremba, Adam; Jiang, Yuexiang - In: Applied economics 51 (2019) 44, pp. 4870-4881
Persistent link: https://www.econbiz.de/10012197122
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Systematic tail risk
Oordt, Maarten R. C. van; Chen Zhou - 2013
Persistent link: https://www.econbiz.de/10010225580
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Is tail risk priced in credit default swap premia?
Meine, Christian; Supper, Hendrik; Weiß, Gregor - 2013
Persistent link: https://www.econbiz.de/10009776158
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Systematic tail risk
Oordt, Maarten van; Zhou, Chen - de Nederlandsche Bank - 2013
measure on the sensitivity of assets to extreme market downturns, the tail beta. Empirically, historical tail betas help to … tail betas suffer losses that are approximately 2 to 3 times larger than their low tail beta counterparts. However, we find …
Persistent link: https://www.econbiz.de/10010822709
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Liquidity tail risk and credit default swap spreads
Irresberger, Felix; Weiß, Gregor; Gabrysch, Janet; … - In: European journal of operational research : EJOR 269 (2018) 3, pp. 1137-1153
Persistent link: https://www.econbiz.de/10011866884
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