Matěj Nevrla

Academy of Sciences of the Czech Republic - Department of Econometrics

Czech Republic

  • Academy of Sciences of the Czech Republic - Department of Econometrics

SCHOLARLY PAPERS

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Scholarly Papers (3)

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1.

Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices

Number of pages: 55 Posted: 30 Jun 2018 Last Revised: 10 Dec 2021
Jozef Baruník and Matěj Nevrla
Charles University in Prague - Department of Economics and Academy of Sciences of the Czech Republic - Department of Econometrics
Downloads 119 (371,005)

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Cross-sectional return variation, downside risk, tail risk, frequency, spectral risk, investment horizons

2.

Investment Disputes and Abnormal Volatility of Stocks

Number of pages: 23 Posted: 10 Jul 2020
Jozef Baruník, Zdenek Drabek and Matěj Nevrla
Charles University in Prague - Department of Economics, World Trade Organization (WTO) and Academy of Sciences of the Czech Republic - Department of Econometrics
Downloads 65 (540,629)
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3.

Common Idiosyncratic Quantile Risk

Number of pages: 44 Posted: 16 Sep 2022
Jozef Baruník and Matěj Nevrla
Charles University in Prague - Department of Economics and Academy of Sciences of the Czech Republic - Department of Econometrics
Downloads 106

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Cross-section of asset returns, factor structure of asset returns, idiosyncratic risk, quantiles, asymmetric risk