Tail Risk and its Predictive Power: Extreme financial events risk and its relation to future equity returns - Tapa blanda

Kashif, Muhammad

 
9783330002579: Tail Risk and its Predictive Power: Extreme financial events risk and its relation to future equity returns
Tapa blanda
ISBN 10: 3330002573 ISBN 13: 9783330002579
Editorial: LAP LAMBERT Academic Publishing, 2016

Sinopsis

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.

"Sinopsis" puede pertenecer a otra edición de este libro.

Reseña del editor

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.

Biografía del autor

The author is a master degree holder in finance and econometrics as well as holds an MBA degree with focus on brand management. He has three years’ experience in analytics domain from fortune 500 company.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
LAP LAMBERT Academic Publishing
Año de publicación
2016
Idioma
Inglés
ISBN 10 
3330002573
ISBN 13 
9783330002579
Encuadernación
Tapa blanda
Número de páginas
52
Contacto del fabricante
no disponible
Persona responsable
no disponible