Systematic tail risk is considered an important determinant of expected returns on risky
assets. We examine its impact from two perspectives in a unified framework which originates …

В коллективной монографии кафедры фондового рынка и рынка инвестиций НИУ ВШЭ
представлены результаты научных исследований по развитию инновационных …

The article presents an empirical validation for mean-variance CAPM, using a Downside
and Higher-moment framework of CAPM in the Russian stock market. The authors test the …

We propose new systematic tail risk measures constructed using two different approaches.
The first is a non-parametric measure that captures the tendency of a stock to crash at the …

We use tail events at different levels of severity to define an asset's tail risk and to
decompose the latter into a systematic and an idiosyncratic component. The systematic …

This paper uses a higher moment capital asset pricing model to characterize the returns of
several types of hedge fund indices. The quantile regression approach is used to test for any …

According to modern portfolio theory, diversification should cover the risk. This theory is
based on the normality of asset return. Experimental findings indicate that the assets return …

This study aims at analysing the impact of co-skewness and co-kurtosis on the returns of the
Indian stocks by incorporating co-skewness and co-kurtosis in the traditional capital asset …

This study examines the significance of the risk factors in the CAPM with higher order co-
moments using a two-pass methodological technique of Fama and Macbeth. Stock prices of …

This paper contributes to the literature by extending the interpretation of financial contagion
beyond that of the market correlation approach popularised by Forbes and Rigobon (2002) …