Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices
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- Jozef Baruník & Matěj Nevrla, 2023. "Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices," Journal of Financial Econometrics, Oxford University Press, vol. 21(5), pages 1590-1646.
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More about this item
JEL classification:
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2018-07-16 (Risk Management)
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