Speculative trading activity may either support efficient market functioning or introduce price distortions. Using granular, daily EMIR Trade Repository data on short sterling futures, we investigate the interaction of speculative trading and macroeconomic shocks on UK yield curve pricing over a...

We propose new systematic tail risk measures constructed using two different approaches. The first extends the canonical downside beta and co-moment measures, while the second is based on the sensitivity of stock returns to innovations in market crash risk. Both tail risk measures are associated...

We examine how the tail risk of currency returns over the past 20 years were impacted by central bank (monetary and liquidity) measures across the globe with an original and unique dataset that we make publicly available. Using a standard factor model, we derive theoretical measures of tail...

Speculative trading activity may either support efficient market functioning or introduce price distortions. Using granular, daily EMIR Trade Repository data on short sterling futures, we investigate the interaction of speculative trading and macroeconomic shocks on UK yield curve pricing over a...