Publication
Tail risk dynamics in equity markets: estimation, implications, and predictive power of conditional tail indexes
| Summary: | This work project investigates the significance of tail risk in U.S. and European financial markets, focusing on stock-specific tail indexes and their implications for asset pricing and return predictability. Utilizing a flexible framework based on ordinary least squares (OLS), the work project estimates these tail indexes while incorporating various macroeconomic and financial covariates. By evaluating the risk premium and the predictive power of the tail indexes, this research contributes valuable insights into how financial risks affect market prices. The main finding of the analysis is the discovery of a significant tail risk premium for European stocks. |
|---|---|
| Main Authors: | Racocha, Tomas |
| Subject: | Tail risk Asset pricing Conditional tail index estimation Predictive modeling Extreme market events |
| Year: | 2025 |
| Country: | Portugal |
| Document type: | master thesis |
| Access type: | open access |
| Associated institution: | Universidade Nova de Lisboa |
| Language: | English |
| Origin: | Repositório Institucional da UNL |
| _version_ | 1868983326290739200 |
|---|---|
| author | Racocha, Tomas |
| author_facet | Racocha, Tomas |
| author_role | author |
| contributor_name_str_mv | Rodrigues, Paulo Manuel Marques RUN |
| country_str | PT |
| creators_json_txt | [{\"Person.name\":\"Racocha, Tomas\"}] |
| datacite.contributors.contributor.contributorName.fl_str_mv | Rodrigues, Paulo Manuel Marques RUN |
| datacite.creators.creator.creatorName.fl_str_mv | Racocha, Tomas |
| datacite.date.Accepted.fl_str_mv | 2025-01-16T00:00:00Z |
| datacite.date.available.fl_str_mv | 2025-09-03T10:28:01Z |
| datacite.date.embargoed.fl_str_mv | 2025-09-03T10:28:01Z |
| datacite.rights.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| datacite.subjects.subject.fl_str_mv | Tail risk Asset pricing Conditional tail index estimation Predictive modeling Extreme market events |
| datacite.titles.title.fl_str_mv | Tail risk dynamics in equity markets: estimation, implications, and predictive power of conditional tail indexes |
| dc.contributor.none.fl_str_mv | Rodrigues, Paulo Manuel Marques RUN |
| dc.creator.none.fl_str_mv | Racocha, Tomas |
| dc.date.Accepted.fl_str_mv | 2025-01-16T00:00:00Z |
| dc.date.available.fl_str_mv | 2025-09-03T10:28:01Z |
| dc.date.embargoed.fl_str_mv | 2025-09-03T10:28:01Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | http://hdl.handle.net/10362/187451 |
| dc.language.none.fl_str_mv | eng |
| dc.rights.none.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| dc.subject.none.fl_str_mv | Tail risk Asset pricing Conditional tail index estimation Predictive modeling Extreme market events |
| dc.title.fl_str_mv | Tail risk dynamics in equity markets: estimation, implications, and predictive power of conditional tail indexes |
| dc.type.none.fl_str_mv | http://purl.org/coar/resource_type/c_bdcc |
| description | This work project investigates the significance of tail risk in U.S. and European financial markets, focusing on stock-specific tail indexes and their implications for asset pricing and return predictability. Utilizing a flexible framework based on ordinary least squares (OLS), the work project estimates these tail indexes while incorporating various macroeconomic and financial covariates. By evaluating the risk premium and the predictive power of the tail indexes, this research contributes valuable insights into how financial risks affect market prices. The main finding of the analysis is the discovery of a significant tail risk premium for European stocks. |
| dirty | 0 |
| eu_rights_str_mv | openAccess |
| format | masterThesis |
| fulltext.url.fl_str_mv | https://run.unl.pt/bitstreams/0968d4f7-5b08-48d4-a253-740d63abcc2f/download |
| id | run_4f87dedc19118d04933ccf8f78acc77c |
| identifier.url.fl_str_mv | http://hdl.handle.net/10362/187451 |
| inst_facet_str | urn:organizationAcronym:unl{{{_:::_}}}Universidade Nova de Lisboa |
| instacron_str | unl |
| institution | Universidade Nova de Lisboa |
| instname_str | Universidade Nova de Lisboa |
| language | eng |
| network_acronym_str | run |
| network_name_str | Repositório Institucional da UNL |
| oai_identifier_str | oai:run.unl.pt:10362/187451 |
| organization_str_mv | urn:organizationAcronym:unl |
| person_str_mv | Racocha, Tomas |
| publishDate | 2025 |
| repo_facet_str | urn:repositoryAcronym:run{{{_:::_}}}Repositório Institucional da UNL |
| reponame_str | Repositório Institucional da UNL |
| repository_id_str | urn:repositoryAcronym:run |
| service_str_mv | urn:repositoryAcronym:run |
| spelling | engpt_PTThis work project investigates the significance of tail risk in U.S. and European financial markets, focusing on stock-specific tail indexes and their implications for asset pricing and return predictability. Utilizing a flexible framework based on ordinary least squares (OLS), the work project estimates these tail indexes while incorporating various macroeconomic and financial covariates. By evaluating the risk premium and the predictive power of the tail indexes, this research contributes valuable insights into how financial risks affect market prices. The main finding of the analysis is the discovery of a significant tail risk premium for European stocks.application/pdfpt_PTTail risk dynamics in equity markets: estimation, implications, and predictive power of conditional tail indexesRacocha, TomasRodrigues, Paulo Manuel MarquesHostingInstitutionOrganizationalRUNe-mailmailto:run@unl.ptrun@unl.ptURNurn:tid:2039917452025-09-03T10:28:01Z2025-01-162025-01-162025-01-16T00:00:00ZHandlehttp://hdl.handle.net/10362/187451http://purl.org/coar/access_right/c_abf2open accessTail riskAsset pricingConditional tail index estimationPredictive modelingExtreme market events1739049 bytesliteraturehttp://purl.org/coar/resource_type/c_bdccmaster thesishttp://purl.org/coar/access_right/c_abf2application/pdffulltexthttps://run.unl.pt/bitstreams/0968d4f7-5b08-48d4-a253-740d63abcc2f/download |
| spellingShingle | Tail risk dynamics in equity markets: estimation, implications, and predictive power of conditional tail indexes Racocha, Tomas Tail risk Asset pricing Conditional tail index estimation Predictive modeling Extreme market events |
| status | SINGLETON |
| subject.fl_str_mv | Tail risk Asset pricing Conditional tail index estimation Predictive modeling Extreme market events |
| title | Tail risk dynamics in equity markets: estimation, implications, and predictive power of conditional tail indexes |
| title_full | Tail risk dynamics in equity markets: estimation, implications, and predictive power of conditional tail indexes |
| title_fullStr | Tail risk dynamics in equity markets: estimation, implications, and predictive power of conditional tail indexes |
| title_full_unstemmed | Tail risk dynamics in equity markets: estimation, implications, and predictive power of conditional tail indexes |
| title_short | Tail risk dynamics in equity markets: estimation, implications, and predictive power of conditional tail indexes |
| title_sort | Tail risk dynamics in equity markets: estimation, implications, and predictive power of conditional tail indexes |
| topic | Tail risk Asset pricing Conditional tail index estimation Predictive modeling Extreme market events |
| topic_facet | Tail risk Asset pricing Conditional tail index estimation Predictive modeling Extreme market events |
| url | http://hdl.handle.net/10362/187451 |
| visible | 1 |