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Tail risk dynamics in equity markets: estimation, implications, and predictive power of conditional tail indexes

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Detalhes bibliográficos
Resumo: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.
Autores principais:Racocha, Tomas
Assunto:Tail risk Asset pricing Conditional tail index estimation Predictive modeling Extreme market events
Ano:2025
País:Portugal
Tipo de documento:dissertação de mestrado
Tipo de acesso:acesso aberto
Instituição associada:Universidade Nova de Lisboa
Idioma:inglês
Origem:Repositório Institucional da UNL

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