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Climate risks and predictability of the conditional distributions of rare earth stock returns and volatility

Polat, Onur; Gupta, Rangan; Bouri, Elie; Brahim, Mariem - 2025

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Forecasting Tail Risk Measures for Financial Time Series : An Extreme Value Approach With Covariates

James, Robert; Leung, Henry; Leung, Jessica Wai Yin; … - 2021

The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information … available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and … extreme value distribution of risk. We use a rich data set from the US equity market to explore when this additional …

Persistent link: https://www.econbiz.de/10013214142

The distribution of returns and risk forecasting

Bilson, John F. - In: Risk management : a modern perspective, (pp. 557-581). 2006

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Comments on: Nonparametric tail risk, stock returns and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016

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

Persistent link: https://www.econbiz.de/10011518800

The skewness risk premium in equilibrium and stock return predictability

Sasaki, Hiroshi - In: Annals of finance 12 (2016) 1, pp. 95-133

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Beta dispersion and market timing

Kuntz, Laura-Chloé - 2020

The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...

Persistent link: https://www.econbiz.de/10012264452