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Stock market tail risk, tail risk premia, and return predictability
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1 of the 47 references listed on this page is in the Retraction Watch database as retracted (export 2026-11-04): 10.1016/j.jfineco.2018.08.002 (notice 2018-08-16).
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1007/978-3-540-77958-2_3openalex-snapshot
Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR)
inferredcites →https://doi.org/10.1016/0304-405x(77)90017-4openalex-snapshot
Capital market equilibrium in a mean-lower partial moment framework
inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-snapshot
Common risk factors in the returns on stocks and bonds
inferredcites →https://doi.org/10.1016/j.jeconom.2010.07.008openalex-snapshot
Threshold bipower variation and the impact of jumps on volatility forecasting
inferredcites →https://doi.org/10.1016/j.jeconom.2014.05.007openalex-snapshot
Time-varying jump tails
inferredcites →https://doi.org/10.1016/j.jeconom.2014.05.008openalex-snapshot
The VIX, the variance premium and stock market volatility
inferredcites →https://doi.org/10.1016/j.jempfin.2007.06.001openalex-snapshot
Does risk aversion drive financial crises? Testing the predictive power of empirical indicators
inferredcites →https://doi.org/10.1016/j.jfineco.2014.10.010openalex-snapshot
A five-factor asset pricing model
inferredcites →https://doi.org/10.1016/j.jfineco.2015.02.010openalex-snapshot
Tail risk premia and return predictability
inferredcites →https://doi.org/10.1016/j.jfineco.2015.06.005openalex-snapshot
The risk premia embedded in index options
inferredcites →https://doi.org/10.1016/j.jfineco.2018.03.010openalex-snapshot
Downside Risks and the Cross-Section of Asset Returns
inferredcites →https://doi.org/10.1016/j.jfineco.2018.08.002openalex-snapshot
RETRACTED: Common risk factors in the cross-section of corporate bond returns
inferredcites →https://doi.org/10.1016/s0304-4076(99)00016-0openalex-snapshot
Nonparametric risk management and implied risk aversion
inferredcites →https://doi.org/10.1016/s0378-4266(03)00127-4openalex-snapshot
A new approach to modeling the dynamics of implied distributions: Theory and evidence from the S&P 500 options
inferredcites →https://doi.org/10.1017/s0022109010000220openalex-snapshot
What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?
inferredcites →https://doi.org/10.1017/s0022109014000453openalex-snapshot
Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence
inferredcites →https://doi.org/10.1017/s0022109019000097openalex-snapshot
Good Volatility, Bad Volatility, and the Cross Section of Stock Returns
inferredcites →https://doi.org/10.1017/s002210902000023xopenalex-snapshot
Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk
inferredcites →https://doi.org/10.1080/07350015.2012.663261openalex-snapshot
Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling
inferredcites →https://doi.org/10.1086/296025openalex-snapshot
Prices of State-Contingent Claims Implicit in Option Prices
inferredcites →https://doi.org/10.1086/374184openalex-snapshot
Liquidity Risk and Expected Stock Returns
inferredcites →https://doi.org/10.1093/acprof:oso/9780199549498.003.0015openalex-snapshot
Estimating the Implied Risk‐Neutral Density for the US Market Portfolio*
inferredcites →https://doi.org/10.1093/jjfinec/nbx020openalex-snapshot
Downside Variance Risk Premium*
inferredcites →https://doi.org/10.1093/rfs/13.1.1openalex-snapshot
Asymmetric Volatility and Risk in Equity Markets
inferredcites →https://doi.org/10.1093/rfs/16.1.0101openalex-snapshot
Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
inferredcites →https://doi.org/10.1093/rfs/hhp008openalex-snapshot
Expected Stock Returns and Variance Risk Premia
inferredcites →https://doi.org/10.1093/rfs/hht039openalex-snapshot
The Skew Risk Premium in the Equity Index Market
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03808.xopenalex-snapshot
On Persistence in Mutual Fund Performance
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00656.xopenalex-snapshot
Are Momentum Profits Robust to Trading Costs?
inferredcites →https://doi.org/10.1111/j.1540-6261.2010.01571.xopenalex-snapshot
Generalized Disappointment Aversion and Asset Prices
inferredcites →https://doi.org/10.1111/j.1540-6261.2011.01695.xopenalex-snapshot
Tails, Fears, and Risk Premia
inferredcites →https://doi.org/10.1111/jofi.12486openalex-snapshot
Short‐Term Market Risks Implied by Weekly Options
inferredcites →https://doi.org/10.1162/rest.2010.11549openalex-snapshot
Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options
inferredcites →https://doi.org/10.1162/rest.89.4.701openalex-snapshot
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
inferredcites →https://doi.org/10.1287/mnsc.2017.2890openalex-snapshot
Good and Bad Variance Premia and Expected Returns
inferredcites →https://doi.org/10.2139/ssrn.2147437openalex-snapshot
Option-Implied Information and Predictability of Extreme Returns
inferredcites →https://doi.org/10.2139/ssrn.2209654openalex-snapshot
Option-Implied Information and Predictability of Extreme Returns
inferredcites →https://doi.org/10.2139/ssrn.3442958openalex-snapshot
The Term Structure of Expected Quadratic Loss and Gain
inferredcites →https://doi.org/10.2307/1914185openalex-snapshot
Prospect Theory: An Analysis of Decision under Risk
inferredcites →https://doi.org/10.3390/jrfm9010002openalex-snapshot
VaR and CVaR Implied in Option Prices
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
inferred← citeshttps://doi.org/10.2139/ssrn.4657119openalex-extracted
The ‘Short-Run’ Impact of Expectations’ Past Volatility on the Current Predictions of Investors. The Case of VIX
inferred← citeshttps://doi.org/10.1016/j.esr.2024.101355openalex-snapshot
Measurement, identification, and spillover effects of systemic risk in the international clean energy market
inferred← citeshttps://doi.org/10.1016/j.frl.2022.102790openalex-snapshot
Global tail risk and oil return predictability
inferred← citeshttps://doi.org/10.1016/j.intfin.2023.101904openalex-snapshot
International stock market volatility: A global tail risk sight
inferred← citeshttps://doi.org/10.1016/j.intfin.2024.102084openalex-snapshot
The short-run impact of investor expectations’ past volatility on current predictions: The case of VIX
inferred← citeshttps://doi.org/10.1093/jjfinec/nbaf002openalex-snapshot
Jump Risk Implicit in Options Market
inferred← citeshttps://doi.org/10.1142/s0219091526600015openalex-snapshot
Risk Premia and Return Predictability Related to the S&P 500 Index and Individual Firms
inferred← citeshttps://doi.org/10.3390/e24070969openalex-snapshot
Asymmetric Fractal Characteristics and Market Efficiency Analysis of Style Stock Indices
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