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UID:cbbae4f3ee4d42dc5a49fe2c7d477433
CATEGORIES:Seminars
CREATED:20150211T154934
SUMMARY:Lunch Seminar: Daniele Massacci - University of Surrey & EIEF
DESCRIPTION;ENCODING=QUOTED-PRINTABLE:<p style="text-align: justify;"><strong>Tail Risk and the Macroeconomy</str
 ong></p><p style="text-align: justify;">Abstract:</p><p style="text-align: 
 justify;">We investigate how tail risk relates to macroeconomic fundamental
 s and uncertainty. We introduce a novel univariate time series model to stu
 dy the dynamics of tail risk in financial returns: we apply results from ex
 treme value theory and build a time-varying peaks over threshold model; and
  we specify the laws of motion for the parameters through the score-based a
 pproach. We further propose a connectedness measure for the comovement in t
 ail risk among portfolios. We apply the model to daily returns from U.S. si
 ze-sorted decile stock portfolios and show that tail risk is countercyclica
 l: tail risk goes up when fundamentals deteriorate and macroeconomic uncert
 ainty increases; and larger firms tend to respond more than smaller ones. W
 e further show that the degree of tail connectedness among portfolios is hi
 ghly countercyclical. Further evidence from international developed markets
  strengthens our empirical findings.</p>
DTSTAMP:20260406T002312Z
DTSTART:20141021T130000Z
DTEND:20141021T140000Z
SEQUENCE:0
TRANSP:OPAQUE
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