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- W4386880265 abstract "This study utilizes swaptions data to quantify tail risk through the lens of the fixed income derivatives market. We adopt a non-parametric and model-independent approach to characterize tail risks in a three-dimensional space–time object. We further show that the implied tail risk surface has the predictive contents for stock returns, default risk, and economic uncertainty. There is a significant wedge between the proposed tail risk surface and the asset price dynamics in the financial market." @default.
- W4386880265 created "2023-09-21" @default.
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- W4386880265 date "2023-12-01" @default.
- W4386880265 modified "2023-09-29" @default.
- W4386880265 title "The tail risk surface" @default.
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- W4386880265 doi "https://doi.org/10.1016/j.frl.2023.104497" @default.
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