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Systematic Tail Risk

Citations

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Cited by:

  1. Ahelegbey, Daniel Felix & Giudici, Paolo & Mojtahedi, Fatemeh, 2021. "Tail risk measurement in crypto-asset markets," International Review of Financial Analysis, Elsevier, vol. 73(C).
  2. Prodosh Simlai, 2021. "Accrual mispricing, value-at-risk, and expected stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 57(4), pages 1487-1517, November.
  3. Paulo M.M. Rodrigues & Nicolau João, 2024. "A simple but powerful tail index regression," Working Papers w202412, Banco de Portugal, Economics and Research Department.
  4. Anwer Ahmed & Michael Neel & Irfan Safdar, 2024. "Why does operating profitability predict returns? New evidence on risk versus mispricing explanations," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(2), pages 1243-1276, June.
  5. Rhee, S. Ghon & Wu, Feng (Harry), 2020. "Conditional extreme risk, black swan hedging, and asset prices," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 412-435.
  6. Cheng, Tingting & Liu, Fei & Liu, Junli & Yao, Wenying, 2024. "Tail connectedness: Measuring the volatility connectedness network of equity markets during crises," Pacific-Basin Finance Journal, Elsevier, vol. 87(C).
  7. Ni, He & Zhang, Qin & Guo, Xingjian & Mirza, Sultan Sikandar, 2024. "Portfolio optimization by enhanced LinUCB," Finance Research Letters, Elsevier, vol. 70(C).
  8. Białkowski, Jędrzej & Dang, Huong Dieu & Wei, Xiaopeng, 2022. "High policy uncertainty and low implied market volatility: An academic puzzle?," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1185-1208.
  9. Stoja, Evarist & Polanski, Arnold & Nguyen, Linh H. & Pereverzin, Aleksandr, 2023. "Does systematic tail risk matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
  10. Asgar Ali & K. N. Badhani, 2023. "Tail risk, beta anomaly, and demand for lottery: what explains cross-sectional variations in equity returns?," Empirical Economics, Springer, vol. 65(2), pages 775-804, August.
  11. Palwishah, Rana & Kashif, Muhammad & Rehman, Mobeen Ur & Al-Faryan, Mamdouh Abdulaziz Saleh, 2024. "Asymmetric liquidity risk and currency returns before and during COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 91(C).
  12. Long, Huaigang & Jiang, Yuexiang & Zhu, Yanjian, 2018. "Idiosyncratic tail risk and expected stock returns: Evidence from the Chinese stock markets," Finance Research Letters, Elsevier, vol. 24(C), pages 129-136.
  13. Lang, Chunlin & Hu, Yang & Corbet, Shaen & Hou, Yang (Greg), 2024. "Tail risk connectedness in G7 stock markets: Understanding the impact of COVID-19 and related variants," Journal of Behavioral and Experimental Finance, Elsevier, vol. 41(C).
  14. Atilgan, Yigit & Bali, Turan G. & Demirtas, K. Ozgur & Gunaydin, A. Doruk, 2020. "Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns," Journal of Financial Economics, Elsevier, vol. 135(3), pages 725-753.
  15. Sanjay Sehgal & Tarunika Jain Agrawal & Florent Deisting, 2025. "The tale of two tails and stock returns for two major emerging markets," Review of Quantitative Finance and Accounting, Springer, vol. 64(1), pages 163-189, January.
  16. Cao, Ngan Duong & Trinh, Vu Quang & Nguyen, Tam Duc, 2025. "Geopolitical uncertainty and firm tail risk: Evidence from energy-focused economies," Energy Economics, Elsevier, vol. 150(C).
  17. Zaremba, Adam & Bilgin, Mehmet Huseyin & Long, Huaigang & Mercik, Aleksander & Szczygielski, Jan J., 2021. "Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 78(C).
  18. Fracasso, Laís Martins & Müller, Fernanda Maria & Ramos, Henrique Pinto & Righi, Marcelo Brutti, 2023. "Is there a risk premium? Evidence from thirteen measures," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 182-199.
  19. Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2022. "Multivariate crash risk," Journal of Financial Economics, Elsevier, vol. 145(1), pages 129-153.
  20. Gao, Lijun & Bei, Dongsheng & Wu, Junda & Guo, Kun & Wei, Xianhua, 2026. "Are safe-haven assets really safe? Heterogeneity under economic, political and climate risks," The Quarterly Review of Economics and Finance, Elsevier, vol. 105(C).
  21. Zhuqin Liang & Sumin Zhong & Mohd Tahir Ismail, 2026. "Adaptive LASSO quantile regression for regime-switching exchange rate dependence: the case of major currencies against the USD," SN Business & Economics, Springer, vol. 6(3), pages 1-17, March.
  22. Radoslav Raykov, 2024. "Is This Normal? The Cost of Assuming that Derivatives Have Normal Returns," Staff Working Papers 24-46, Bank of Canada.
  23. Zhuo, Rongsheng & Qiao, Zheng & Li, Ao & Sang, Bo & Cai, Yu, 2025. "Supply network structure and firm tail risk," Research in International Business and Finance, Elsevier, vol. 79(C).
  24. Deniz Erdemlioglu & Christopher J. Neely & Xiye Yang, 2023. "Testing for Multi-Asset Systemic Tail Risk," Working Papers 2023-016, Federal Reserve Bank of St. Louis, revised 29 May 2026.
  25. Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2021. "Systemic-systematic risk in financial system: A dynamic ranking based on expectiles," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 330-365.
  26. Wu, Ran, 2025. "Forecasting the European Union allowance price tail risk with the integrated deep belief and mixture density networks," Chaos, Solitons & Fractals, Elsevier, vol. 199(P2).
  27. Ahn, Jungkyu & Ahn, Yongkil, 2023. "The tail risk surface," Finance Research Letters, Elsevier, vol. 58(PC).
  28. Liu, Liping & Xu, Jietian & Li, Jixin, 2024. "The spillover effects of U.S. uncertainties on the systemic tail risk of Chinese enterprises," Finance Research Letters, Elsevier, vol. 64(C).
  29. Qiao, Tongshuai & Zhao, Yang & Han, Liyan & Li, Donghui, 2025. "Multivariate crash risk in China," Journal of Banking & Finance, Elsevier, vol. 171(C).
  30. Long, Huaigang & Zhu, Yanjian & Chen, Lifang & Jiang, Yuexiang, 2019. "Tail risk and expected stock returns around the world," Pacific-Basin Finance Journal, Elsevier, vol. 56(C), pages 162-178.
  31. Ba, Shusong & Li, Lu & Huang, Wenli & Yang, Chen, 2020. "Heterogeneity risks and negative externality," Economic Modelling, Elsevier, vol. 87(C), pages 401-415.
  32. Yang, Liuyong & Long, Yijia & Long, Huaigang & Zaremba, Adam & Zhou, Wenyu, 2022. "Is tail risk priced in the cross-section of Chinese mutual fund returns?," Finance Research Letters, Elsevier, vol. 50(C).
  33. Sheng Fang & Paul Egan, 2021. "Tail dependence between oil prices and China's A‐shares: Evidence from firm‐level data," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1469-1487, January.
  34. Radoslav Raykov & Consuelo Silva-Buston, 2022. "Asymmetric Systemic Risk," Staff Working Papers 22-19, Bank of Canada.
  35. Cui, Wei & Yao, Juan, 2020. "Funds of hedge funds: Are they really the high society for little guys?," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 346-361.
  36. Bellenzier, Lucia & Vitting Andersen, Jørgen & Rotundo, Giulia, 2016. "Contagion in the world's stock exchanges seen as a set of coupled oscillators," Economic Modelling, Elsevier, vol. 59(C), pages 224-236.
  37. Davydov, Denis & Vähämaa, Sami & Yasar, Sara, 2021. "Bank liquidity creation and systemic risk," Journal of Banking & Finance, Elsevier, vol. 123(C).
  38. Maghyereh, Aktham & Abdoh, Hussein, 2021. "Time–frequency quantile dependence between Bitcoin and global equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  39. Krzysztof Echaust & Małgorzata Just, 2021. "Tail Dependence between Crude Oil Volatility Index and WTI Oil Price Movements during the COVID-19 Pandemic," Energies, MDPI, vol. 14(14), pages 1-21, July.
  40. Gubareva, Mariya & Shafiullah, Muhammad & Teplova, Tamara, 2025. "Corrigendum to “Cross-quantile risk assessment: The interplay of crude oil, artificial intelligence, clean tech, and other markets” [Energy Economics Volume 141, January 2025, 108085]," Energy Economics, Elsevier, vol. 141(C).
  41. Gong, Xiao-Li & Zhao, Min & Wu, Zhuo-Cheng & Jia, Kai-Wen & Xiong, Xiong, 2023. "Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective," Energy Economics, Elsevier, vol. 121(C).
  42. Jeongseop Song & Kim Hiang Liow, 2023. "Industrial tail exposure risk and asset price: Evidence from US REITs," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 51(5), pages 1209-1245, September.
  43. Linda Mhalla & Julien Hambuckers & Marie Lambert, 2022. "Extremal connectedness of hedge funds," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 988-1009, August.
  44. Wang, Jikai & Qiao, Gaoxiu, 2025. "Extreme events and quantile time-frequency volatility connectedness across crude oil, green bonds and low-carbon equity markets," Research in International Business and Finance, Elsevier, vol. 77(PA).
  45. Bi, Jia & Zhu, Yifeng, 2020. "Value at risk, cross-sectional returns and the role of investor sentiment," Journal of Empirical Finance, Elsevier, vol. 56(C), pages 1-18.
  46. Conlon, Thomas & Cotter, John & Ropotos, Ioannis, 2026. "Drivers of firm-level tail dependence: A machine learning approach," Journal of Economic Dynamics and Control, Elsevier, vol. 182(C).
  47. Aleksy Leeuwenkamp & Wentao Hu, 2023. "New general dependence measures: construction, estimation and application to high-frequency stock returns," Papers 2309.00025, arXiv.org.
  48. Ergun, Lerby M., 2023. "Extreme downside risk in the cross-section of asset returns," International Review of Financial Analysis, Elsevier, vol. 90(C).
  49. Wang, Chen & Xiong, Xiong & Shen, Dehua, 2022. "Tail risks, firm characteristics, and stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
  50. Zhao, Zifeng & Zhang, Zhengjun & Chen, Rong, 2018. "Modeling maxima with autoregressive conditional Fréchet model," Journal of Econometrics, Elsevier, vol. 207(2), pages 325-351.
  51. Idris A. Adediran, 2021. "Can Tail Risk Predict Asia-Pacific Exchange Rates Out of Sample?," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(3), pages 1-6.
  52. Chen, Xi & Wang, Junbo & Wu, Chunchi & Wu, Di, 2024. "Extreme illiquidity and cross-sectional corporate bond returns," Journal of Financial Markets, Elsevier, vol. 68(C).
  53. Qin, Yiyi & Cai, Jun & Wang, James J.D. & Webb, Robert I., 2023. "Gold-mining stocks, risk factors, and tail patterns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
  54. Yang, Huan & Cai, Jun & Huang, Lin & Marcus, Alan J., 2021. "Bank stocks, risk factors, and tail behavior," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 203-229.
  55. Tong Wang, 2023. "Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium," Review of Finance, European Finance Association, vol. 27(1), pages 325-367.
  56. Jozef Barunik & Matej Nevrla, 2022. "Common Idiosyncratic Quantile Factors and Asset Prices," Papers 2208.14267, arXiv.org, revised Mar 2026.
  57. de Jong, Pieter, 2025. "ESG disclosure inconsistency and tail risk," Finance Research Letters, Elsevier, vol. 86(PG).
  58. Lu, Xinjie & Zeng, Qing & Zhong, Juandan & Zhu, Bo, 2024. "International stock market volatility: A global tail risk sight," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
  59. Salisu, Afees A. & Adediran, Idris & Omoke, Philip C. & Tchankam, Jean Paul, 2023. "Gold and tail risks," Resources Policy, Elsevier, vol. 80(C).
  60. Harris, Richard D.F. & Nguyen, Linh H. & Stoja, Evarist, 2019. "Systematic extreme downside risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 128-142.
  61. Lian, Ziying & Cai, Jun & Webb, Robert I., 2020. "Oil stocks, risk factors, and tail behavior," Energy Economics, Elsevier, vol. 91(C).
  62. Fatemeh Mojtahedi & Seyed Mojtaba Mojaverian & Daniel F. Ahelegbey & Paolo Giudici, 2020. "Tail Risk Transmission: A Study of the Iran Food Industry," Risks, MDPI, vol. 8(3), pages 1-17, July.
  63. Maarten van Oordt & Chen Zhou, 2019. "Systemic risk and bank business models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 365-384, April.
  64. Fousseni Chabi-Yo & Markus Huggenberger & Florian Weigert, 2019. "Multivariate Crash Risk," Working Papers on Finance 1901, University of St. Gallen, School of Finance.
  65. Khasawneh, Maher & McMillan, David G. & Kambouroudis, Dimos, 2024. "Left-tail risk and UK stock return predictability: Underreaction, overreaction, and arbitrage difficulties," International Review of Financial Analysis, Elsevier, vol. 95(PA).
  66. Xingyu Chen, 2025. "Beyond Volume: The Differential Impact of ESG Disclosure Quantity and Quality on Corporate Tail Risk," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 46(8), pages 4201-4231, December.
  67. Liu, Xiaoxing & Wu, Yizhong & Li, Xuemei, 2025. "How does ESG affect systemic tail risk?," International Review of Financial Analysis, Elsevier, vol. 103(C).
  68. Quang Trinh, Vu & Duong Cao, Ngan & Li, Teng & Elnahass, Marwa, 2023. "Social capital, trust, and bank tail risk: The value of ESG rating and the effects of crisis shocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
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