Northcote House
The Queen's Drive
Exeter, Devon EX4 4QJ
United Kingdom
University of Exeter
Asset Pricing, Downside Risk, Tail Risk, Co-Moments, Value at Risk, Systematic Risk
Tail Dependence, Tail Risk Decomposition, Tail Risk Classification, Systematic Tail Risk, Idiosyncratic Tail Risk, Tail Risk Cushioning
Tail Dependence, Tail Risk Decomposition, Tail Risk Classification, Systematic Tail Risk, Idiosyncratic Tail Risk, Tail Risk Cushioning JEL: C14, G11, G12
Tail Dependence, Systematic Tail Risk, Tail Risk Beta, Risk Premium JEL: C14, G11, G12
Downside risk, Markov switching, financial crisis, value at risk, leverage effect, volatility
Asset pricing, Tail risk, Comoments, Value at Risk, Systematic risk
Downside risk, Tail risk, Markov switching, Value-at-Risk, Leverage effect, Volatility feedback effect
