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Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy

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  • Caio Almeida
  • Kym Ardison
  • René Garcia
  • Jose Vicente

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Suggested Citation

  • Caio Almeida & Kym Ardison & René Garcia & Jose Vicente, 2017. "Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 504-504.
    • Handle: RePEc:oup:jfinec:v:15:y:2017:i:3:p:504-504.
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    File URL: http://hdl.handle.net/10.1093/jjfinec/nbx010
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    Citations

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    Cited by:

    1. Freire, Gustavo, 2021. "Tail risk and investors’ concerns: Evidence from Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    2. Jozef Barunik & Mattia Bevilacqua & Radu Tunaru, 2022. "Asymmetric Network Connectedness of Fears," The Review of Economics and Statistics, MIT Press, vol. 104(6), pages 1304-1316, November.
    3. 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.
    4. Fatemeh Mojtahedi & Seyed Mojtaba Mojaverian & Daniel F. Ahelegbey & Paolo Giudici, 2020. "Tail Risk Transmission: A Study of the Iran Food Industry," Risks, MDPI, vol. 8(3), pages 1-17, July.
    5. Ahelegbey, Daniel Felix & Giudici, Paolo & Mojtahedi, Fatemeh, 2021. "Tail risk measurement in crypto-asset markets," International Review of Financial Analysis, Elsevier, vol. 73(C).
    6. Prodosh Simlai, 2021. "Accrual mispricing, value-at-risk, and expected stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 57(4), pages 1487-1517, November.
    7. Daniel Felix Ahelegbey, 2022. "Statistical Modelling of Downside Risk Spillovers," FinTech, MDPI, vol. 1(2), pages 1-10, April.
    8. Qian, Lihua & Zeng, Qing & Lu, Xinjie & Ma, Feng, 2022. "Global tail risk and oil return predictability," Finance Research Letters, Elsevier, vol. 47(PB).
    9. Salisu, Afees A. & Pierdzioch, Christian & Gupta, Rangan & Gabauer, David, 2022. "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," International Review of Financial Analysis, Elsevier, vol. 83(C).
    10. 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).
    11. Todorov, Viktor, 2022. "Nonparametric jump variation measures from options," Journal of Econometrics, Elsevier, vol. 230(2), pages 255-280.
    12. Almeida, Caio & Ardison, Kym & Garcia, René, 2020. "Nonparametric assessment of hedge fund performance," Journal of Econometrics, Elsevier, vol. 214(2), pages 349-378.
    13. Cao, Ji & Rieger, Marc Oliver & Zhao, Lei, 2023. "Safety first, loss probability, and the cross section of expected stock returns," Journal of Economic Behavior & Organization, Elsevier, vol. 211(C), pages 345-369.
    14. K. Victor Chow & Wanjun Jiang & Bingxin Li & Jingrui Li, 2020. "Decomposing the VIX: Implications for the predictability of stock returns," The Financial Review, Eastern Finance Association, vol. 55(4), pages 645-668, November.
    15. Bevilacqua, Mattia & Tunaru, Radu, 2021. "The SKEW index: Extracting what has been left," Journal of Financial Stability, Elsevier, vol. 53(C).
    16. Bevilacqua, Mattia & Tunaru, Radu, 2021. "The SKEW index: extracting what has been left," LSE Research Online Documents on Economics 108198, London School of Economics and Political Science, LSE Library.
    17. Post, Thierry & Karabatı, Selçuk & Arvanitis, Stelios, 2018. "Portfolio optimization based on stochastic dominance and empirical likelihood," Journal of Econometrics, Elsevier, vol. 206(1), pages 167-186.
    18. Schneider, Paul, 2019. "An anatomy of the market return," Journal of Financial Economics, Elsevier, vol. 132(2), pages 325-350.

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