Tail Risks and Stock Return Predictability: Evidence From Asia-Pacific
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- Ahamuefula E. Ogbonna & Olusanya E. Olubusoye, 2021. "Tail Risks and Stock Return Predictability - Evidence From Asia-Pacific," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(3), pages 1-6.
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Cited by:
- Salisu, Afees A. & Olaniran, Abeeb & Tchankam, Jean Paul, 2022. "Oil tail risk and the tail risk of the US Dollar exchange rates," Energy Economics, Elsevier, vol. 109(C).
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More about this item
Keywords
Conditional Autoregressive Value at Risk; Predictability; Returns; Tail Thickness;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CWA-2021-10-04 (Central and Western Asia)
- NEP-FMK-2021-10-04 (Financial Markets)
- NEP-ORE-2021-10-04 (Operations Research)
- NEP-RMG-2021-10-04 (Risk Management)
- NEP-SEA-2021-10-04 (South East Asia)
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