Tail risk forecasting with semiparametric regression models by incorporating overnight information
Sign Up to like & getrecommendations! Published in 2024 at "Journal of Forecasting"
DOI: 10.1002/for.3090
Abstract: This research incorporates realized volatility and overnight information into risk models, wherein the overnight return often contributes significantly to the total return volatility. Extending a semiparametric regression model based on asymmetric Laplace distribution, we propose… read more here.
Keywords: risk; risk forecasting; semiparametric regression; tail risk ... See more keywords
Do hedge funds time market tail risk? Evidence from option‐implied tail risk
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Futures Markets"
DOI: 10.1002/fut.21972
Abstract: This paper focuses on an unexplored dimension of fund managers’ timing ability: Market‐wide tail risk implied by information in options markets. Constructing the option‐implied tail risk, we investigate whether hedge fund managers can strategically time… read more here.
Keywords: risk; tail risk; hedge; implied tail ... See more keywords
Asymmetric Commodity Tails and Index Futures Returns
Sign Up to like & getrecommendations! Published in 2025 at "Journal of Futures Markets"
DOI: 10.1002/fut.22564
Abstract: This paper proposes that the tail risk associated with commodity futures returns performs well at predicting the S&P 500 index futures returns in‐ and out‐of‐sample, even after controlling business cycles, economic factors, investor sentiment factors,… read more here.
Keywords: futures returns; index futures; tail risk; tail ... See more keywords
The long and short of commodity tails and their relationship to Asian equity markets
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Asian Economics"
DOI: 10.1016/j.asieco.2017.08.001
Abstract: We aim to determine if the relative tail risk of commodities remains consistent over time and whether there is association between commodity tail risk and Asian equity markets. We examine the tail risk of 24… read more here.
Keywords: risk; asian equity; tail risk; long short ... See more keywords
Tail risk contagion between international financial markets during COVID-19 pandemic
Sign Up to like & getrecommendations! Published in 2020 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2020.101649
Abstract: Abstract In this paper, we combine the time-varying financial network model and FARM-selection approach to analyze the tail risk contagion between international financial market during the COVID-19 epidemic. Since the tail risk acts as a… read more here.
Keywords: tail risk; risk contagion; risk; international financial ... See more keywords
Tail risk and systemic risk of finance and technology (FinTech) firms
Sign Up to like & getrecommendations! Published in 2022 at "Technological Forecasting and Social Change"
DOI: 10.1016/j.techfore.2021.121191
Abstract: Abstract Technology firms are increasingly moving to finance. They are able to make use of a large stock of user data and offer a range of services that otherwise were not possible. This move may… read more here.
Keywords: risk; tail risk; risk systemic; technology firms ... See more keywords
Extreme tail risk estimation with the generalized Pareto distribution under the peaks-over-threshold framework
Sign Up to like & getrecommendations! Published in 2018 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2018.1549253
Abstract: Abstract Modeling excesses over a high threshold and estimating extreme tail risk are two utmost studies in the extreme value literature. Traditional techniques are limited on handling these two challenges. To better analyze this type… read more here.
Keywords: tail risk; extreme tail; tail; generalized pareto ... See more keywords
Tail risk aversion and backwardation of index futures
Sign Up to like & getrecommendations! Published in 2024 at "Quantitative Finance"
DOI: 10.1080/14697688.2024.2330612
Abstract: We show that tail risk aversion, proxied by the skewness risk premium implied from the SSE 50 ETF options market, explains a significant proportion of the unusually deep backwardation of index futures during the 2015… read more here.
Keywords: index futures; risk; backwardation; tail risk ... See more keywords
Estimating portfolio risk for tail risk protection strategies
Sign Up to like & getrecommendations! Published in 2020 at "European Financial Management"
DOI: 10.1111/eufm.12256
Abstract: We forecast portfolio risk for managing dynamic tail risk protection strategies, based on extreme value theory, expectile regression, Copula-GARCH and dynamic GAS models. Utilizing a loss function that overcomes the lack of elicitability for Expected… read more here.
Keywords: risk; portfolio; risk protection; portfolio risk ... See more keywords
Will a boom be followed by crash? A new systemic risk measure based on right-tail risk
Sign Up to like & getrecommendations! Published in 2023 at "Frontiers in Psychology"
DOI: 10.3389/fpsyg.2022.1104618
Abstract: In this study, we demonstrate that high short-term gains on the A-share market may lead to significant losses in the future and potentially cause a market catastrophe. To study the accumulation, outbreak, and cross-sector spillover… read more here.
Keywords: systemic risk; tail risk; risk; right tail ... See more keywords
Distribution-Level PV Representative Bands: Blockwise BGMM and NSGA-II for Coverage and Tail-Risk
Sign Up to like & getrecommendations! Published in 2025 at "Energies"
DOI: 10.3390/en18236134
Abstract: Power system planning requires reliable information about feeder-level photovoltaic (PV) variability, but point forecasts are often uncertain. This study proposes a procedure for constructing explainable, frequency-aware representative bands for daily PV output at the feeder… read more here.
Keywords: level; coverage; representative bands; tail risk ... See more keywords