Browsing by Title "Nonparametric tail risk, macroeconomics and stock returns: predictability and risk premia"
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Nonparametric tail risk, macroeconomics and stock returns: predictability and risk premia
2015-02-12This paper proposes a new novel to calculate tail risks incorporating risk-neutral information without dependence on options data. Proceeding via a non parametric approach we derive a stochastic discount factor that correctly ...


