Right tail information and asset pricing

Hua, QL; Xiao, ZJ; Zhou, HT

Zhou, HT (corresponding author), Dongbei Univ Finance & Econ, Sch Econ, Ctr Econometr Anal & Forecasting, 217 Jianshan Steet, Dalian 116025, Peoples R China.

ECONOMETRIC REVIEWS, 2021; 40 (8): 728

Abstract

The right tail of the distribution of financial variables provides important information to investors and decision-makers. In this paper, we study the......

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