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

Kashif, Muhammad

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

Inhaltsangabe

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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Über die Autorin bzw. den 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.

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Verlag
LAP LAMBERT Academic Publishing
Erscheinungsdatum
2016
Sprache
Englisch
ISBN 10 
3330002573
ISBN 13 
9783330002579
Einband
Taschenbuch
Anzahl der Seiten
52
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
Edicoes Nosso Conhecimento
customerservice@vdm-vsg.de

SIA
Riga
1039
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