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

Lorenzo Camponovo, Olivier Scaillet and Fabio Trojani ()

No 16-41, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

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 (search for similar items in EconPapers)
JEL-codes: G12 G13 G17 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2016-07
New Economics Papers: this item is included in nep-cse and nep-rmg
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http://ssrn.com/abstract=2804446 (application/pdf)

Related works:
Journal Article: Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy (2017)
Working Paper: Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1641

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