Tail Risk and its Predictive Power

Name: Tail Risk and its Predictive Power
Brand: LAP Lambert Academic Publishing
SKU: 9783330002579
Price: 572 CZK
Availability: InStock

Extreme financial events risk and its relation to future equity returns

Autor: Muhammad Kashif

Jazyk:

Vazba: Brožovaná

Vydavatel: LAP Lambert Academic Publishing

Dostupnost: Skladem u dodavatele

Odesíláme za 5-8 dnů

572 Kč

The book is very well written, has a good structure, explains concepts in a crisp and concise manner...

Informace o knize

Autor

Muhammad Kashif

Jazyk

Angličtina

Vazba

Kniha - Brožovaná

Vydáno

2016

Stránek

EAN

9783330002579

Enbook ID

15467360

Vydavatel

LAP Lambert Academic Publishing

Hmotnost

Rozměry

150 x 220 x 3

Kompletní popis

The book is very well written, has a good structure, explains concepts in a crisp and concise manner, and place itself very well in the existing finance literature. First, it uncovers the extreme negative events' risk in the form of power law. Second, it critically analyzes this time-varying tail risk (TVTR) estimator's implications on the aggregate stock market returns. This study is significantly imperative for equity investors owing to the high persistence level of this estimator. The study also compares tail risk estimator predictive power for prtfolio returns as well as aggregate market returns in the US and the Norwegian market.

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Tail Risk and its Predictive Power

Extreme financial events risk and its relation to future equity returns

Informace o knize

Kompletní popis

Mohlo by vás zajímat

Zákaznicí kteří koupili tuto knihu koupili také