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BEGIN:VEVENT
UID:cbbae4f3ee4d42dc5a49fe2c7d477433
CATEGORIES:Seminars
CREATED:20150211T154934
SUMMARY:Lunch Seminar: Daniele Massacci - University of Surrey & EIEF
DESCRIPTION;ENCODING=QUOTED-PRINTABLE:Tail Risk and the Macroeconomy\nAbstract:\nWe investigate how tail risk rel
 ates to macroeconomic fundamentals and uncertainty. We introduce a novel un
 ivariate time series model to study the dynamics of tail risk in financial 
 returns: we apply results from extreme value theory and build a time-varyin
 g peaks over threshold model; and we specify the laws of motion for the par
 ameters through the score-based approach. We further propose a connectednes
 s measure for the comovement in tail risk among portfolios. We apply the mo
 del to daily returns from U.S. size-sorted decile stock portfolios and show
  that tail risk is countercyclical: tail risk goes up when fundamentals det
 eriorate and macroeconomic uncertainty increases; and larger firms tend to 
 respond more than smaller ones. We further show that the degree of tail con
 nectedness among portfolios is highly countercyclical. Further evidence fro
 m international developed markets strengthens our empirical findings.\n
DTSTAMP:20260406T002616Z
DTSTART:20141021T130000Z
DTEND:20141021T140000Z
SEQUENCE:0
TRANSP:OPAQUE
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