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Time-varying tails and the tail risk premium | Synapse
March 3, 2026
Time-varying tails and the tail risk premium
XG
xiaorui gu
Southwest University
SL
Shuo Li
Tianjin University of Finance and Economics
LP
Liuhua Peng
The University of Melbourne
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Key Points
Tail risk is a critical factor in financial markets that influences investment returns.
The analysis reveals a significant relationship between tail risk and the risk premium across different asset classes.
This study emphasizes time-varying dynamics in risk assessment, which can alter investment strategies.
Understanding tail risk may enable more informed decision-making for investors, particularly in fluctuating markets.
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Cite This Study
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gu et al. (Thu,) studied this question.
synapsesocial.com/papers/69a760fdc6e9836116a2e7bb
https://doi.org/https://doi.org/10.1016/j.econmod.2026.107551