Tail Risks Across Investment Funds by Jerchern Lin

Subjects: “…tail risk…”
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Wealthy individual investors and stock markets' tail risk. by He Yu, Rong Lu, Hu Yang, Bin Zhang

“…This paper employs a unique data set to analyze the trading behavior of wealthy individual investors across Mainland China and their impact on Chinese stock markets' tail risk. Results show that the wealthy individual investors' trading behavior can explain Chinese stock markets' tail risk, and the daily investment portfolios based on the network density of wealthy individual investors have significant excess returns. …”
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SPECIFICS TAIL RISKS THAT THREATEN ECONOMIC SECURITY OF INDUSTRIAL ORGANIZATIONS by A. Savin

Subjects: “…tail risks…”
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Correction: Wealthy individual investors and stock markets’ tail risk

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POT-Based Estimation of the Renewal Function of Interoccurrence Times of Heavy-Tailed Risks by Abdelhakim Necir, Abdelaziz Rassoul, Djamel Meraghni

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Tail Risk in the Chinese Vegetable Oil Market: Based on the EGAS-EVT Model by Yueqiang Zhang, Guanghui Han, Hui Xie, Zixing Wang

“…The study demonstrated that the EGAS-POT models based on nonparametric quantile thresholds can effectively characterise tail risk and provide a feasible measure of risk for investors.…”
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Multiscale Tail Risk Connectedness of Global Stock Markets: A LASSO-Based Network Topology Approach by Yuting Du, Xu Zhang, Zhijing Ding, Xian Yang

“…Due to the advent of deglobalization and regional integration, this article aims to adopt LASSO-based network connectedness to estimate the multiscale tail risk spillover effects of global stock markets. …”
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Research on the cross-contagion between international stock markets and geopolitical risks: the two-layer network perspective by Xiao-Li Gong, Hao-Yang Ning, Xiong Xiong

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Nexus of crude oil and clean energy stock indices: Evidence from time-vector-auto-regression in conjunction with conditional-autoregressive-value-at-risk by Nader Trabelsi, Aviral Kumar Tiwari, Fahmi Ghallabi, Imen Khemakhem

“…The current study aims to elicit information regarding the tail risk transmission mechanism between crude oil (CO) and selected clean energy (CE) stock indices across time and during certain economic events. …”
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Realized Jump Risk and Equity Return in China by Guojin Chen, Xiaoqun Liu, Peilin Hsieh, Xiangqin Zhao

“…Our empirical results show that the jump tail risk can explain the equity return. For the large capital-size stocks, large cap stock portfolios, and index, one-month lagged jump risk factor significantly explains the asset return variation. …”
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Extreme time–frequency connectedness between oil shocks and sectoral markets in the United States by Oguzhan Ozcelebi, Jose Pérez-Montiel, Sang Hoon Kang

“…We consider the normal and extreme conditions across different frequency horizons, and the quantile time–frequency connectedness method is used to determine the tail risk contagion under different frequency horizons. …”
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Modelization and Calibration of the Power-Law Distribution in Stock Market by Maximization of Varma Entropy by Chang Liu, Chuo Chang

“…The underestimation of the tail risk may lead to severe consequences, even for assets with moderate fluctuations. …”
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