Predicting the equity risk premium using the smooth cross-sectional tail risk: the importance of correlation
I provide a new monthly cross-sectional measure of stock market tail risk, SCSTR, defined as the average of the daily cross-sectional tail risk, rather than the tail risk of the pooled daily returns within a month. Through simulations, I find that SCSTR better captures monthly tail risk rather than...
| Autor principal: | |
|---|---|
| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2022
|
| Assuntos: | |
| Texto completo: | http://hdl.handle.net/10400.14/38328 |
| País: | Portugal |
| Oai: | oai:repositorio.ucp.pt:10400.14/38328 |