Empirical evidence of systemic tail risk premium in the Johannesburg Stock Exchange
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References listed on IDEAS
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More about this item
Keywordssystematic tail risk; stock exchange; extreme value theory; copula;
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- G01 - Financial Economics - - General - - - Financial Crises
- 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-HME-2019-10-28 (Heterodox Microeconomics)
- NEP-ORE-2019-10-28 (Operations Research)
- NEP-RMG-2019-10-28 (Risk Management)
- NEP-UPT-2019-10-28 (Utility Models & Prospect Theory)
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