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Option-implied information and predictability of extreme returns

Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013

We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...

Persistent link: https://www.econbiz.de/10010226098

Tail relation between return and volume in the US stock market : an analysis based on extreme value theory

Longin, François M.; Pagliardi, Giovanni - In: Economics letters 145 (2016), pp. 252-254

Persistent link: https://www.econbiz.de/10011618837

Assessing bitcoin return extrema in the context of extreme value theory

Uluceviz, Erhan - In: Machine Learning in Finance : Trends, Developments and …, (pp. 171-185). 2025

Persistent link: https://www.econbiz.de/10015372039

Nonlinear tail dependence in cryptocurrency-stock market returns : the role of Bitcoin futures

Lahiani, Amine; Jeribi, Ahmed; Boukef Jlassi, Nabila - In: Research in international business and finance 56 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10013266088

Subsample analysis of stock market : cryptocurrency returns tail dependence : acopula approach for the tails

Boukef Jlassi, Nabila; Jeribi, Ahmed; Lahiani, Amine; … - In: Finance research letters 58 (2023) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10014582463

Dependence and extreme correlation among US industry sectors

Sukcharoen, Kunlapath; Leatham, David J. - In: Studies in economics and finance 33 (2016) 1, pp. 26-49

Persistent link: https://www.econbiz.de/10011718723

A multivariate tail covariance measure for elliptical distributions

Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance 81 (2018), pp. 27-35

Persistent link: https://www.econbiz.de/10011904613

Tail index estimation in the presence of covariates : stock returns' tail risk dynamics

Nicolau, João; Rodrigues, Paulo M. M.; Stoykov, Marian Z. - In: Journal of econometrics 235 (2023) 2, pp. 2266-2284

Persistent link: https://www.econbiz.de/10014471455

Bootstrapping time-varying uncertainty intervals for extreme daily return periods

Makatjane, Katleho - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-23

This study aims to overcome the problem of dimensionality, accurate estimation, and forecasting Value-at-Risk (VaR) and Expected Shortfall (ES) uncertainty intervals in high frequency data. A Bayesian bootstrapping and backtest density forecasts, which are based on a weighted threshold and...

Persistent link: https://www.econbiz.de/10012804913

The generalised pareto distribution model approach to comparing extreme risk in the exchange rate risk of BitCoin/US Dollar and South African Rand/US Dollar Returns

Ndlovu, Thabani; Chikobvu, Delson - In: Risks : open access journal 11 (2023) 6, pp. 1-16

African rand. The steady rise in the movement of South Africans' investments between the rand and BitCoin warrants an … employed to estimate the Value at Risk (VaR) and the Expected Shortfall (ES) for the two exchange rates, BitCoin/US dollar … (BitCoin) and the South African rand/US dollar (ZAR/USD). The estimated risk measures are used to compare the riskiness of the …

Persistent link: https://www.econbiz.de/10014334466