Disaggregated oil shocks and stock-market tail risks: Evidence from a panel of 48 Economics
Sign Up to like & getrecommendations! Published in 2021 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2021.101515
Abstract: Abstract We analyse the impact of oil supply, global economic activity, oil-specific consumption demand, and oil-inventory demand shocks on equity-market tail risks of a panel of 48 developed and emerging economies over the monthly period… read more here.
Keywords: tail risks; economics; oil; market tail ... See more keywords
Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models
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DOI: 10.1080/14697688.2020.1820072
Abstract: Accurate estimation and optimal control of tail risk is important for building portfolios with desirable properties, especially when dealing with a large set of assets. In this work, we consider optimal asset allocation strategies based… read more here.
Keywords: deviation; tail risks; risk; risks large ... See more keywords
Hedging and Evaluating Tail Risks via Two Novel Options Based on Type II Extreme Value Distribution
Sign Up to like & getrecommendations! Published in 2021 at "Symmetry"
DOI: 10.3390/sym13091630
Abstract: Tail risk is an important financial issue today, but directly hedging tail risks with an ad hoc option is still an unresolved problem since it is not easy to specify a suitable and asymmetric pricing… read more here.
Keywords: tail risks; risk; tro; tail ... See more keywords