ESTIMATION AND PREDICTION OF CONDITIONAL TAIL EXPECTATION FOR LONG-HORIZON RETURNS
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DOI: 10.5705/ss.202018.0304
Abstract: In evaluating tail risks for returns of stock portfolios, it is important yet difficult to deliver a statistically sound solution when the return horizon is long. Traditional parametric methods which rely on strong model assumptions… read more here.
Keywords: tail expectation; conditional tail; estimation prediction; tail ... See more keywords