This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns …. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on …. We find that stocks with a high exposure to joint crashes of the market and the momentum factor bear a risk premium which …

This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of … returns than stocks with low MCRASH. The premium is not explained by linear factor exposures, alternative downside risk … measures or stock characteristics. Extending market-based definitions of crash risk to other well-established factors helps to …

This article extends the variance ratio test of Lo and MacKinlay (1988) to tests of skewness and kurtosis ratios. The … more powerful with better size properties. The proposed tests are particularly relevant to the risk management industry … where risk models are estimated using daily data, although multi-period forecasts of tail risks are required for the …

Many financial decisions such as portfolio allocation, risk management, option pricing and hedge strategies are based …

This paper deals with the estimation of portfolio returns and Value at Risk (VaR), by using a class of Gaussian mixture … return distributions are usually not normal. They often find evidence of non-normality, such as heavy tails, excess kurtosis …

This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum ….84%. We find additional supportive out-of sample evidence for our risk-based momentum explanation in a sample of 23 …

analytical functions of the moments. This allows an analysis of the risk properties of systems to be carefully attributed between … choices of risk function (e.g. VaR vs CVaR); choice of return distribution (power law tail vs Gaussian) and choice of event … frequency, for risk assessment. We exploit this to provide a simple method for portfolio optimization when the asset returns …