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

Author

Listed:
  • Lorenzo CAMPONOVO

    (University of St. Gallen)

  • Olivier SCAILLET

    (University of Geneva and Swiss Finance Institute)

  • Fabio TROJANI

    (University of Geneva and Swiss Finance Institute)

Abstract

This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy.

Suggested Citation

  • Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI, 2016. "Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Swiss Finance Institute Research Paper Series 16-41, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp1641
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    File URL: http://ssrn.com/abstract=2804446
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    Cited by:

    1. is not listed on IDEAS
    2. Philippe Bernard & Najat El Mekkaoui De Freitas & Bertrand B. Maillet, 2022. "A financial fraud detection indicator for investors: an IDeA," Annals of Operations Research, Springer, vol. 313(2), pages 809-832, June.

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    Keywords

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    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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