This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy …

This paper proposes to extract tail risk from a risk-neutral mean-adjusted expected shortfall of high-frequency stock … returns. Risk adjustment is based on a nonparametric estimator of the state price density that does not use option prices and … or nonexistent options. Empirically, the tail risk factor extracted from S\&P 500 returns has a 90% correlation with the …

This paper introduces a new tail risk measure based on the risk-neutral excess expected shortfall of a cross-section of … stock returns. We propose a novel way to risk neutralize the returns without relying on option price information …. Empirically, we illustrate our methodology by estimating a tail risk measure over a long historical period based on a set of size …