The drivers of downside equity tail risk
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More about this item
KeywordsExtreme Value Theory; Hypothesis Testing; Tail Index; Tail Risk;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-30 (All new papers)
- NEP-RMG-2013-03-30 (Risk Management)
- NEP-UPT-2013-03-30 (Utility Models & Prospect Theory)
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