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Tail Risk and its Predictive Power

Name: Tail Risk and its Predictive Power
Brand: LAP Lambert Academic Publishing
SKU: 15467360
Price: 25.59 EUR
Availability: InStock
Author: Muhammad Kashif
ISBN: 9783330002579

Extreme financial events risk and its relation to future equity returns

Muhammad Kashif

Language

English

Book Paperback

Libristo code: 15467360

Publishers LAP Lambert Academic Publishing, November 2015

The book is very well written, has a good structure, explains concepts in a crisp and concise manner... Full description

Libristo code: 15467360

63 b

25.59 € VAT included

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The book is very well written, has a good structure, explains concepts in a crisp and concise manner, and place itself very well in the existing finance literature. First, it uncovers the extreme negative events' risk in the form of power law. Second, it critically analyzes this time-varying tail risk (TVTR) estimator's implications on the aggregate stock market returns. This study is significantly imperative for equity investors owing to the high persistence level of this estimator. The study also compares tail risk estimator predictive power for prtfolio returns as well as aggregate market returns in the US and the Norwegian market.