Do economic news releases affect tail risk? Evidence from an emerging market
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DOI: 10.1016/j.frl.2020.101727
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- Afees A. Salisu & Christian Pierdzioch & Rangan Gupta & Reneé van Eyden, 2023.
"Climate risks and U.S. stock‐market tail risks: A forecasting experiment using over a century of data,"
International Review of Finance, International Review of Finance Ltd., vol. 23(2), pages 228-244, June.
- Afees A. Salisu & Christian Pierdzioch & Rangan Gupta & Renee van Eyden, 2021. "Climate Risks and U.S. Stock-Market Tail Risks: A Forecasting Experiment Using over a Century of Data," Working Papers 202165, University of Pretoria, Department of Economics.
- Ha, Le Thanh, 2022. "Storm after the Gloomy days: Influences of COVID-19 pandemic on volatility of the energy market," Resources Policy, Elsevier, vol. 79(C).
- Salisu, Afees A. & Pierdzioch, Christian & Gupta, Rangan & Gabauer, David, 2022.
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International Review of Financial Analysis, Elsevier, vol. 83(C).
- Afees A. Salisu & Christian Pierdzioch & Rangan Gupta & David Gabauer, 2021. "Forecasting Stock-Market Tail Risk and Connectedness in Advanced Economies Over a Century: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios," Working Papers 202161, University of Pretoria, Department of Economics.
- Gupta, Rangan & Sheng, Xin & Pierdzioch, Christian & Ji, Qiang, 2021. "Disaggregated oil shocks and stock-market tail risks: Evidence from a panel of 48 economics," Research in International Business and Finance, Elsevier, vol. 58(C).
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Keywords
CaViaR; Economic news; Mexico; Tail risk;All these keywords.
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