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Systematic Extreme Downside Risk
We propose new systematic tail risk measures constructed using two different approaches. The first is a nonparametric measure that captures the tendency of a stock to crash at the same time as the market, while the second ...
Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach
This paper reports a new methodology and results on the forecast of the numerical value of the fat tail(s) in asset returns distributions using the irrational fractional Brownian motion model. Optimal model parameter values ...