Caudas variáveis no tempo e o prêmio de risco de cauda

Key Points

O risco de cauda é um fator crítico nos mercados financeiros que influencia os retornos de investimento.
A análise revela uma relação significativa entre o risco de cauda e o prêmio de risco em diferentes classes de ativos.
Este estudo enfatiza a dinâmica variável no tempo na avaliação de risco, que pode alterar as estratégias de investimento.
Compreender o risco de cauda pode permitir uma tomada de decisão mais informada para os investidores, particularmente em mercados flutuantes.

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Authors

xiaorui gu

Southwest University

Shuo Li

Tianjin University of Finance and Economics

Liuhua Peng

The University of Melbourne

Journals

Economic Modelling

Actions

Institutions

The University of Melbourne

Peking University

Tianjin University of Finance and Economics

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Cite this study

gu et al. (Thu,) estudaram essa questão.

synapsesocial.com/papers/69a760fdc6e9836116a2e7bb — DOI: https://doi.org/10.1016/j.econmod.2026.107551

Also consider

Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context:

Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model· 1987 · 2,507 citations
Tails, Fears, and Risk Premia· 2011 · 854 citations
Maxing out: Stocks as lotteries and the cross-section of expected returns· 2010 · 1,702 citations
Generalized autoregressive conditional heteroskedasticity· 1986 · 22,242 citations
Autoregressive Conditional Density Estimation· 1994 · 1,617 citations

Also consider

Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context:

Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model· 1987 · 2,507 citations
Tails, Fears, and Risk Premia· 2011 · 854 citations
Maxing out: Stocks as lotteries and the cross-section of expected returns· 2010 · 1,702 citations
Generalized autoregressive conditional heteroskedasticity· 1986 · 22,242 citations
Autoregressive Conditional Density Estimation· 1994 · 1,617 citations

Caudas variáveis no tempo e o prêmio de risco de cauda

Key Points

Citation Network

Connected Papers

Discussion

Authors

Journals

Actions

Institutions

References and Citations

Citation Network

Connected Papers

Discussion

Cite this study

Also consider

Also consider