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Stock market tail risk, tail risk premia, and return predictability

Authors :
Sun-Joong Yoon
Sangwon Suh
Eungyu Yoo
Source :
Journal of Futures Markets. 41:1569-1596
Publication Year :
2021
Publisher :
Wiley, 2021.

Subjects

Subjects :
Economics and Econometrics
Accounting
Economics
Econometrics
Stock market
Skewness risk
Tail risk
Predictability
General Business, Management and Accounting
Finance

Details

ISSN :
10969934 and 02707314
Volume :
41
Database :
OpenAIRE
Journal :
Journal of Futures Markets
Accession number :
edsair.doi...........a0a18d1750fb1f334062c990f0957397
Full Text :
https://doi.org/10.1002/fut.22226
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