IDEAS home Printed from https://ideas.repec.org/a/oup/jfinec/v15y2017i3p388-409..html
   My bibliography  Save this article

Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy

Author

Listed:
  • Dobrislav Dobrev
  • Ernst Schaumburg

Abstract

We consider the non-parametric measure of tail risk (TR) proposed by Almeida, Ardison, Garcia and Vicente (2017) and illustrate the impact of some of the trade-offs involved when computing it both on real data and in controlled experiments with known dynamics of TR. We also propose an extremely simple to compute conditionally normal benchmark approximation of TR as a baseline to compare against other tail risk measures that aim to capture deviations from conditional normality. Given the empirical challenges associated with identifying and estimating tail risk, we strongly advocate evaluating tail risk measures in simple stylized models with well-understood properties and calibrated to real data as a useful device for understanding the behavior of alternative TR implementations as a function of specific features of the model.

Suggested Citation

  • Dobrislav Dobrev & Ernst Schaumburg, 2017. "Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 388-409.
    • Handle: RePEc:oup:jfinec:v:15:y:2017:i:3:p:388-409.
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1093/jjfinec/nbx003
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:jfinec:v:15:y:2017:i:3:p:388-409.. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://edirc.repec.org/data/sofieea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.