Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy

20 Pages Posted: 6 Jul 2016

See all articles by Lorenzo Camponovo

Lorenzo Camponovo

University of St. Gallen

O. Scaillet

University of Geneva GSEM and GFRI; Swiss Finance Institute; University of Geneva - Research Center for Statistics

Fabio Trojani

Swiss Finance Institute; University of Geneva

Date Written: July 1, 2016

Abstract

This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy.

Keywords: Tail Risk, Risk Factor, Risk-Neutral Probability, Prediction of Market Returns, Economic Predictability

JEL Classification: G12, G13, G17

Suggested Citation

Camponovo, Lorenzo and Scaillet, Olivier and Trojani, Fabio, Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy (July 1, 2016). Swiss Finance Institute Research Paper No. 16-41, Available at SSRN: https://ssrn.com/abstract=2804446 or http://dx.doi.org/10.2139/ssrn.2804446

Lorenzo Camponovo

University of St. Gallen ( email )

Varnbuelstr. 14
Saint Gallen, St. Gallen CH-9000
Switzerland

Olivier Scaillet (Contact Author)

University of Geneva GSEM and GFRI ( email )

40 Boulevard du Pont d'Arve
Geneva 4, Geneva 1211
Switzerland
+ 41 22 379 88 16 (Phone)
+41 22 389 81 04 (Fax)

HOME PAGE: http://www.scaillet.ch

Swiss Finance Institute

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

University of Geneva - Research Center for Statistics

Geneva
Switzerland

Fabio Trojani

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

University of Geneva ( email )

Geneva, Geneva
Switzerland

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