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    • Nonparametric tail risk, stock returns, and the macroeconomy 

      Almeida, Caio Ibsen Rodrigues de; Ardison, Kym Marcel Martins; Garcia, René; Vicente, José
      2016
      This paper introduces a new tail-risk measure based on the risk-neutral excess expected shortfall of a cross-section of stock returns. We propose a novel way to risk neutralize the returns without relying on option price ...