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

Olivier Scaillet, Fabio Trojani and Lorenzo Camponovo

No unige:84999, Working Papers from University of Geneva, Geneva School of Economics and Management

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)
Date: 2016
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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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